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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies
Nkusu, Mwanza - International Monetary Fund (IMF) - 2011
a panel vector autoregressive (PVAR) model. The impulse response functions (IRFs) attribute to NPL a central role in the …
Persistent link: https://www.econbiz.de/10009203534
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A proof of convergence for the combination technique for the Laplace equation using tools of symbolic computation
Bungartz, H.; Griebel, M.; Röschke, D.; Zenger, C. - In: Mathematics and Computers in Simulation (MATCOM) 42 (1996) 4, pp. 595-605
with meshwidth h and O(h−2) grid points, the order O(h2) of the discretization error was shown in (Hofman, 1967), if g …. The crucial task of the proof, i.e. the determination of the discretization error on rectangular grids with arbitrary …
Persistent link: https://www.econbiz.de/10011050597
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Option pricing with sparse grids
Mertens, Thomas - Society for Computational Economics - SCE - 2005
We investigate the suitability of sparse grids for solving high-dimensional option pricing and interest rate models numerically. Starting from the partial differential equation, we try to - at least partially - break the curse of dimensionality through sparse grids which will result from a...
Persistent link: https://www.econbiz.de/10005132688
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Forecasting Performance of Exponential Smooth Transition Autoregressive Exchange Rate Models
Baharumshah, Ahmad; Liew, Venus - In: Open Economies Review 17 (2006) 2, pp. 235-251
This paper compares the forecasting performance of the Smooth Transition Autoregressive (STAR) model with the … conventional linear Autoregressive (AR) and Simple Random Walk (SRW) models. The empirical analysis was conducted using quarterly …
Persistent link: https://www.econbiz.de/10005714996
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Using Threshold Autoregressive Models to Study Dyadic Interactions
Hamaker, Ellen; Zhang, Zhiyong; Maas, Han - In: Psychometrika 74 (2009) 4, pp. 727-745
Persistent link: https://www.econbiz.de/10008491544
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Forecasting Based On Open Var Model
Pecican, Eugen St. - In: Journal for Economic Forecasting (2010) 1, pp. 59-69
Considering as a starting point certain advantages and limits of the VAR model, we propose an opening to include some … restore an equilibrium state or a forecast error. In order to improve the forecasting quality we introduced in the VAR model … certain variables that express previous approaches. The open VAR model was applied to short-time prognoses regarding the main …
Persistent link: https://www.econbiz.de/10008457170
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Statistical inference for functions of the covariance matrix in the stationary Gaussian time-orthogonal principal components model
Dryden, Ian; Kume, Alfred; Le, Huiling; Wood, Andrew - In: Annals of the Institute of Statistical Mathematics 62 (2010) 5, pp. 967-994
Persistent link: https://www.econbiz.de/10008533951
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ON THE FORECASTABILITY OF ASEAN-5 STOCK MARKETS RETURNS USING TIME SERIES MODELS
Liew, Khim-Sen; Lim, Kian-Ping; Choong, Chee-Keong - EconWPA - 2003
This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...
Persistent link: https://www.econbiz.de/10005076958
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Assessing the Impact of the Exchange Rate and Its Volatility on Canadian Pork and Live Swine Exports to the United States and Japan
Fabiosa, Jacinto F. - Center for Agricultural and Rural Development (CARD), … - 2002
A model of a representative Canadian pork exporter is developed to examine the impacts of the exchange rate and its volatility on pork and live swine exports. The pork export supply equation is expressed as a function of the expected level of real exchange rate and a time-varying variance of...
Persistent link: https://www.econbiz.de/10005272893
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Minimax Optimality of CUSUM for an Autoregressive Model
Knoth, Sven; Frisén, Marianne - Statistical Research Unit, Department of Economics, … - 2011
Different change point models for AR(1) processes are reviewed. For some models, the change is in the distribution conditional on earlier observations. For others the change is in the unconditional distribution. Some models include an observation before the first possible change time — others...
Persistent link: https://www.econbiz.de/10008835091