In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in the very short term. The intermediate size of the model overcomes the serious specification problems associated with large scale-models and the implicit loss of information of...

This study investigates models for overnight interest rate volatility in Turkey and USA using the Asymmetric GARCH models and determines the best forecasting volatility models. These models are then completed with the use of out of sample forecasting. The best forecasting volatility models were...

Die Industrie in Deutschland hat bis zum dritten Quartal das Produktionsniveau des Vorjahres knapp halten können. Sie stand einer im Jahresverlauf stark rückläufigen Nachfrage aus dem Inland und dem Euroraum und einer leicht steigenden Nachfrage aus dem Nicht-Euroraum gegenüber. Für das...

Econometric models, in the estimation of real estate prices, are a useful and realistic approach for buyers and for local and fiscal authorities. From the classical hedonic models to more data driven procedures, based on Artificial Neural Networks (ANN), many papers have appeared in economic...

The western pension systems and especially the Spanish one will noticeably be a®ected by an aging of the population that is currently underway. This work proposes a pension model for Spain which would mean deep structural reforms that would guarantee meeting the objectives established by a...

Grey system theory can powerfully deal with incomplete and uncertain information. In this paper, we introduced an improved grey GM(1,1) model that integrates residual modification with Markov chain model. By this model, we improved the forecast accuracy of original grey forecast model and...

This paper develops a framework for evaluating the importance of the arrival of new information for forecasting, estimation, and decision making. By fusing known and recently developed statistical tests and concepts, the paper provides guidelines for detecting outliers, influential observations,...