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Modeling and valuation of energy structures : analylsis., econometrics, and numerics

Mahoney, Daniel - 2016

Persistent link: https://www.econbiz.de/10011399615

"The empirical economist's toolkit : from models to methods"

Panhans, Matthew T.; Singleton, John D. - 2015

wide application of these methods as a "credibility revolution" in econometrics that has finally provided persuasive … crisis in econometrics. …

Persistent link: https://www.econbiz.de/10011602961

Historical econometrics : instrumental variables and regression discontinuity designs

Caicedo, Felipe Valencia - 2020

Persistent link: https://www.econbiz.de/10012299251

Time Series Econometrics : Learning Through Replication

Levendis, John D. - 2023 - 2nd ed. 2023.

-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend …

Persistent link: https://www.econbiz.de/10014443465

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Real-time model uncertainty in the United States: the Fed from 1996-2003

Tetlow, Robert J.; Ironside, Brian - 2006

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model’s...

Persistent link: https://www.econbiz.de/10011604656

In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008

Cai, Lili; Swanson, Norman R. - 2011

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...

Persistent link: https://www.econbiz.de/10010282832

Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models

Shen, Xiangjin; Tsurumi, Hiroki - 2011

We compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain...

Persistent link: https://www.econbiz.de/10010282872

Modelling and Forecasting the Yield Curve under Model uncertainty

Donati, Paola; Donati, Francesco - 2008

This paper proposes a procedure to investigate the nature and persistence of the forces governing the yield curve and to use the extracted information for forecasting purposes. The latent factors of a model of the Nelson-Siegel type are directly linked to the maturity of the yields through the...

Persistent link: https://www.econbiz.de/10011604963

Estimation and Evaluation of DSGE Models : Progress and Challenges

Schorfheide, Frank - 2011

Estimated dynamic stochastic equilibrium (DSGE) models are now widely used for empirical research in macroeconomics as well as for quantitative policy analysis and forecasting at central banks around the world. This paper reviews recent advances in the estimation and evaluation of DSGE models,...

Persistent link: https://www.econbiz.de/10014186380