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Essays on micromotives and macrobehavior, expectation formation, and asset price dynamics
Ghonghadze, Jaba - 2013
Persistent link: https://www.econbiz.de/10009706287
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Trading foreign exchange portfolios with volatility filters : the carry model revisited
Dunis, Christian; Miao, Jia - In: Applied financial economics 17 (2007) 1/3, pp. 249-255
Persistent link: https://www.econbiz.de/10003427070
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US stock market uncertainty and cross-market European stock returns
Sarwar, Ghulam - In: Journal of multinational financial management 28 (2014), pp. 1-14
Persistent link: https://www.econbiz.de/10011297727
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Forecasting inflation uncertainty in the United States and Euro area
Ftiti, Zied; Jawadi, Fredj - In: Computational economics 54 (2019) 1, pp. 455-476
Persistent link: https://www.econbiz.de/10012134205
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Measuring inflation anchoring and uncertainty : a US and Euro area comparison
Grishchenko, Olesya; Mouabbi, Sarah; Renne, Jean-Paul - 2017
We use several US and euro-area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time-varying uncertainty. We obtain survey-consistent distributions of future inflation at any horizon, both in the US and the euro area. Equipped with this model, we...
Persistent link: https://www.econbiz.de/10011803186
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Impact of early COVID-19 pandemic on the US and European stock markets and volatility forecasting
Rahman, Mohammad Mazibar; Chi, Guotai; Gupta, Anupam Das; … - In: Economic research 35 (2022) 1,4, pp. 3591-3608
Persistent link: https://www.econbiz.de/10014384447
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Dynamic connectedness between investors' sentiment and asset prices : a comparison between major markets in Europe and USA
Sakariyahu, Rilwan; Johan, Sofia Atiqah; Lawal, Rodiat; … - In: Journal of international financial markets, … 89 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014490069
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Modelling and forecasting long memory in exchange rate volatility vs. stable and integrated GARCH models
Akgül, Işıl; Sayyan, Hülya - In: Applied financial economics 18 (2008) 4/6, pp. 463-482
Persistent link: https://www.econbiz.de/10003739179
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - 2013
Persistent link: https://www.econbiz.de/10009724167
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …
Persistent link: https://www.econbiz.de/10011296114