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Prediction and nonparametric estimation for time series with heavy tails
Hall, Peter; Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2002
make these points clear, we develop theory describing local applications to time series of both least-squares and least …
Persistent link: https://www.econbiz.de/10011126408
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Business Cycle Turning Points : Mixed-Frequency Data with Structural Breaks
Konstantin A., KHOLODILIN; Wension Vincent, YAO - Institut de Recherche Économique et Sociale (IRES), … - 2004
This papers develops a dynamic factor models with regime switching to account for the decreasing volatility of the U … extend univariate analysis currently used in the literature on the structural break in conditional volatility to the …
Persistent link: https://www.econbiz.de/10004985175
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Potential Output, Output Gap, and Inflation in Italy in the Long Term (1861-2010): An Econometric Analysis
Baffigi, Alberto; Bontempi, Maria Elena; Golinelli, Roberto - Banca d'Italia - 2013
We exploit the new historical national accounts data for Italy over the period 1861-2010, built by Banca d'Italia and Istat, with the collaboration of the University of Rome "Tor Vergata". In the first part of the paper, a thorough study of the new data's statistical properties is presented...
Persistent link: https://www.econbiz.de/10011105101
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An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...
Persistent link: https://www.econbiz.de/10009369442
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
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Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections
Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007
This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...
Persistent link: https://www.econbiz.de/10005825617
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which …
Persistent link: https://www.econbiz.de/10005825859
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Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption; Weathering Uncharted Waters
Székely, István P.; Kóbor, Ãdám - International Monetary Fund (IMF) - 2004
The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By … using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The … the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications …
Persistent link: https://www.econbiz.de/10005826312
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
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LIMITS TO GROWTH AND STOCHASTICS
Bouleau, Nicolas - HAL - 2012
The aim of this article is to use probabilistic ideas to study predictive reasoning based on hypotheses and models, but without using Ito calculus, without writing any stochastic differential equations, in fact without writing any formulas at all. The aim is to extract from the study of...
Persistent link: https://www.econbiz.de/10010899270