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Makroökonomische Prognosen mit gemischten Frequenzen
Wohlrabe, Klaus - In: Ifo Schnelldienst 62 (2009) 21, pp. 22-33
Informationsverlust erlauben: MIDAS-Modelle und VAR-Zustandsraummodelle. Diese Verfahren haben den Vorteil, dass hochfrequente …
Persistent link: https://www.econbiz.de/10008594348
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Forecasting Value-at-Risk Using High Frequency Information
Lee, Tae-Hwy; Huang, Huiyu - Department of Economics, University of California-Riverside - 2014
(VaR is simply the negative of it), using high-frequency information is beneficial, often substantially and particularly so …
Persistent link: https://www.econbiz.de/10010944669
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Forecasting Value-at-Risk Using High-Frequency Information
Huang, Huiyu; Lee, Tae-Hwy - In: Econometrics 1 (2013) 1, pp. 127-140
forecasting the daily S&P 500 index return quantile (Value-at-Risk or VaR is simply the negative of it), using high …
Persistent link: https://www.econbiz.de/10010676150
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Financial markets as a complex system: A short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - Deutsche Bank Research - 2001
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10008677264
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A new method for generating families of continuous distributions
Alzaatreh, Ayman; Lee, Carl; Famoye, Felix - In: METRON 71 (2013) 1, pp. 63-79
In this paper, a new method is proposed for generating families of continuous distributions. A random variable <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$X$$</EquationSource> </InlineEquation>, “the transformer”, is used to transform another random variable <InlineEquation ID="IEq2"> <EquationSource Format="TEX">$$T$$</EquationSource> </InlineEquation>, “the transformed”. The resulting family, the <InlineEquation ID="IEq3"> <EquationSource Format="TEX">$$T$$</EquationSource> </InlineEquation>-<InlineEquation ID="IEq4"> <EquationSource Format="TEX">$$X$$</EquationSource> </InlineEquation> family of distributions, has a...</equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation></equationsource></inlineequation>
Persistent link: https://www.econbiz.de/10011000669
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Moving up. Applying aggregate level time series analysis in the study of media coverage
Vliegenthart, Rens - In: Quality & Quantity: International Journal of Methodology 48 (2014) 5, pp. 2427-2445
heteroscedasticity are discussed. Two useful approaches, ARIMA and VAR, are introduced stepwise. An empirical example, dealing with …
Persistent link: https://www.econbiz.de/10010949432
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Sims, Christopher Albert (born 1942)
Boumans, Marcel - Palgrave Macmillan
introducing the VAR approach to econometrics and macroeconomic modelling. Sims' main contribution to empirical macroeconomics was … to show how macro-econometric modeling should be revised so as to meet the Lucas Critique test. The VAR approach did not … imply the abandoning of theory but only the involvement of theory that is ‘as light as possible.’ It shifted the focus …
Persistent link: https://www.econbiz.de/10011141077
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Default, Credit Growth, and Asset Prices
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006
systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs …
Persistent link: https://www.econbiz.de/10005264113
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Preispromotionanalysen in Vertriebslinien des Lebensmitteleinzelhandels: dynamische Kategorieeffekte und Einflussfaktoren
Günter, Tobias Maria - Deutsche Zentralbibliothek für …
Persistenzmodellierung. Zu dieser gehören verschiedene Techniken der Zeitreihenanalyse (u. a. ADF-Test, VAR-Modelle, Impulse …
Persistent link: https://www.econbiz.de/10008752656
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Performance of Differential Evolution and Particle Swarm Methods on Some Relatively Harder Multi-modal Benchmark Functions
Mishra, SK - Volkswirtschaftliche Fakultät, … - 2006
functions are: Perm, Power-Sum, Bukin, Zero-Sum, Hougen, Giunta, DCS, Kowalik, Fletcher-Powell and some now functions. Our … as the dimension is increased. In case of DCS function, it works well up to m (dimension) = 5. When we use no crossover …
Persistent link: https://www.econbiz.de/10005835442