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Interest rates and the volatility and correlation of commodity prices
Gruber, Joseph W.; Vigfusson, Robert J. - In: Macroeconomic dynamics 22 (2018) 3, pp. 600-619
Persistent link: https://www.econbiz.de/10011916666
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Unveiling the time-dependent dynamics between oil prices and exchange rates : a wavelet-based panel analysis
Karlsson, Hyunjoo Kim; Månsson, Kristofer; Sjölander, Pär - In: The energy journal 41 (2020) 6, pp. 87-106
Persistent link: https://www.econbiz.de/10012547025
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Efficient importance sampling in applied econometrics
Moura, Guilherme Valle - 2009
Persistent link: https://www.econbiz.de/10003963709
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Modelling state dependence in cross-country panel data
Georgiadis, Georgios - 2012 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009503901
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Modelling the UK and Euro yield curves using the generalized Vasicek model : empirical results fron panel data for one and two factor models
Nowman, Khalid Ben - In: International review of financial analysis 19 (2010) 5, pp. 334-341
Persistent link: https://www.econbiz.de/10009272649
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Financial Big Data Solutions for State Space Panel Regression in Interest Rates Dynamics
Toczydlowska, Dorota - 2020
A novel class of dimension reduction methods is combined with a stochastic multi-factor panel regression-based state-space model in order to model the dynamic of yield curves whilst incorporating regression factors. This is achieved via Probabilistic Principal Component Analysis (PPCA) in which...
Persistent link: https://www.econbiz.de/10012852894
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How to go viral: a COVID-19 model with endogenously time-varying parameters
Ho, Paul; Lubik, Thomas A.; Matthes, Christian - 2020
Persistent link: https://www.econbiz.de/10012391064
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An analysis of the time-varying behavior of the equilibrium velocity of money in the euro area
Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Recent econometric techniques for macroeconomic and …, (pp. 113-146). 2021
-space framework for modeling the velocity of circulation. Our specification allows for the estimation of different autoregressive …
Persistent link: https://www.econbiz.de/10012395397
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Modelling time-varying parameters in panel data state-space frameworks : an application to the Feldstein–Horioka puzzle
Camarero Olivas, Mariam; Sapena, Juan; Tamarit … - In: Computational economics 56 (2020) 1, pp. 87-114
Persistent link: https://www.econbiz.de/10012272020
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Measuring productivity and efficiency : a Kalman filter approach
Duygun, Meryem; Kutlu, Levent; Sickles, Robin C. - In: Journal of productivity analysis 46 (2016) 2/3, pp. 155-167
Persistent link: https://www.econbiz.de/10011631670