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Factor structural time series models for official statistics with an application to hours worked in Germany

Weigand, Roland; Wanger, Susanne; Zapf, Ines - 2015

factors. A two-step estimation strategy is presented, which is based on principal components in differences in a first step …, statistical breaks, different sampling frequencies and irregular observation patterns, and describe their statistical treatment …. The methods are applied to the estimation of paid and unpaid overtime work as well as flows on working-time accounts in …

Persistent link: https://www.econbiz.de/10011309972

Hybridising neurofuzzy model the seasonal autoregressive models for electricity price forecasting on Germany's spot market

Paraschiv, Dorel Mihai; Bălășoiu, Narciz; Ben Amor, … - In: Amfiteatru economic : an economic and business research … 25 (2023) 63, pp. 463-478

Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...

Persistent link: https://www.econbiz.de/10014464238

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals

Stindl, Tom - In: Journal of empirical finance 70 (2023), pp. 182-198

Persistent link: https://www.econbiz.de/10014423627

On mean reversion in real interest rates : an application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10009725013

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849

Inference for Adaptive Time Series Models : Stochastic Volatility and Conditionally Gaussian State Space Form

Bos, Charles S.; Shephard, Neil - 2004

Persistent link: https://www.econbiz.de/10014073593

Prediction of financial downside-risk with heavy-tailed conditional distributions

Mittnik, Stefan; Paolella, Marc S. - 2003

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...

Persistent link: https://www.econbiz.de/10009765347

Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model

Bec, Frederique; Guay, Alain; Guerre, Emmanuel - 2009

theory when the threshold variable is a level variable. We obtain a pivotal null limiting distribution under some simple …

Persistent link: https://www.econbiz.de/10014209706

A Spatial Autoregressive Production Frontier Model for Panel Data : With an Application to European Countries

Glass, Anthony; Glass, Karligash; Sickles, Robin C. - 2013

frontier model for panel data. Features of the modeling include time-varying efficiency and estimation of own and spillover …

Persistent link: https://www.econbiz.de/10014160248

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