Showing 1 - 10 of 15,813
Recent results on so-called SEMIFAR models introduced by Beran (1997) are discussed. The nonparametric deterministic trend is estimated by a kernel method. The differencing and fractional differencing parameters as well as the autoregressive coefficients are estimated by an approximate maximum...
Persistent link: https://www.econbiz.de/10010316696
This paper considers efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant distributions and parametric copula functions; where the copulas capture all scale-free temporal dependence and tail dependence of...
Persistent link: https://www.econbiz.de/10010288444
explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …
Persistent link: https://www.econbiz.de/10010325710
practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …
Persistent link: https://www.econbiz.de/10010326056
We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10010316078
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10010264085
This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …
Persistent link: https://www.econbiz.de/10010276165
This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …
Persistent link: https://www.econbiz.de/10010276180
We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved …
Persistent link: https://www.econbiz.de/10010293428
forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …
Persistent link: https://www.econbiz.de/10010295056