Narrow search
Showing 1 - 10 of 4,019
Cover Image
25 Years of IIF Time Series Forecasting: A Selective Review
Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005
We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...
Persistent link: https://www.econbiz.de/10005427625
Cover Image
Oil Price Shocks and Gold Returns
Le, Thai-Ha; Chang, Youngho - In: Economie Internationale (2012) 131, pp. 71-104
This study investigates the impact of oil price fluctuations on gold market returns using monthly data from May 1994 to April 2011. A structural vector autoregressive approach is employed to examine the dynamics between oil price shocks and gold returns. Various oil price proxies are used in the...
Persistent link: https://www.econbiz.de/10010827700
Cover Image
Nonlinearities in the Oil Price-Output Relationship
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2011
It is customary to suggest that the asymmetry in the transmission of oil price shocks to real output is well established. Much of the empirical work cited as being in support of asymmetries, however, has not directly tested the hypothesis of an asymmetric transmission of oil price innovations....
Persistent link: https://www.econbiz.de/10008784725
Cover Image
Do Oil Prices Help Forecast U.S. Real GDP? The Role of Nonlinearities and Asymmetries
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2012
There is a long tradition of using oil prices to forecast U.S. real GDP. It has been suggested that the predictive relationship between the price of oil and one-quarter ahead U.S. real GDP is nonlinear in that (1) oil price increases matter only to the extent that they exceed the maximum oil...
Persistent link: https://www.econbiz.de/10011083435
Cover Image
The Role of Oil Price Shocks in Causing U.S. Recessions
Kilian, Lutz; Vigfusson, Robert J. - C.E.P.R. Discussion Papers - 2014
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide the first formal analysis of this question with special attention to the...
Persistent link: https://www.econbiz.de/10011083465
Cover Image
German geographical research on Japan
Flüchter, Winfried - Fachbereich Wirtschaftswissenschaften, Universität … - 2000
Persistent link: https://www.econbiz.de/10008682627
Cover Image
Exchange Rate Regimes and Volatility: Comparison of the Snake and Visegrad
Valachy, Juraj; Evžen Ko?enda - William Davidson Institute, University of Michigan - 2003
analyze recent developments in the volatility of exchange rates of the Central European countries (the Visegrad Group) and a … exchange rate volatility: squared returns parametric model and GARCH. Both methods provide identical results for the currencies … of the Visegrad group: an increase in volatility after a floating exchange rate regime was introduced. The case of the …
Persistent link: https://www.econbiz.de/10005207889
Cover Image
Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns
Gallo, Giampiero M.; Hong, Yongmiao; Lee, Tae-Why - Dipartimento di Statistica, Informatica, Applicazioni … - 2001
of stock return volatility. Out-of-sample forecast performances of the FC models and linear models where the coefficients …
Persistent link: https://www.econbiz.de/10005687788
Cover Image
Statistical Properties of the Asymmetric Power ARCH Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
The asymmetric power ARCH model is a recent addition to time series models that may be used for predicting volatility …
Persistent link: https://www.econbiz.de/10005423779
Cover Image
Universal scaling behaviors of meteorological variables’ volatility and relations with original records
Lu, Feiyu; Yuan, Naiming; Fu, Zuntao; Mao, Jiangyu - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4953-4962
standard deviations. To reconfirm the relation between long-range correlations in volatility and nonlinearity in original …Volatility series (defined as the magnitude of the increments between successive elements) of five different … behaviors are found in all volatility records, whose scaling exponents take similar distributions with similar mean values and …
Persistent link: https://www.econbiz.de/10010588761