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The empirical analysis of exchange rate regimes and nonlinear econometrics
Winschel, Viktor - 2005
Persistent link: https://www.econbiz.de/10003300833
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...
Persistent link: https://www.econbiz.de/10010228330
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Threshold cointegration in international exchange rates : a Bayesian approach
Huber, Florian; Zörner, Thomas - In: International journal of forecasting 35 (2019) 2, pp. 458-473
Persistent link: https://www.econbiz.de/10012300684
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Empirical Comparison of Extreme Value Theory Vis-À-Vis Other Methods of VaR Estimation Using ASEAN+3 Exchange Rates
Rufino, Cesar - 2015
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting of foreign exchange …. Estimation of magnitude and the likelihood of extreme events should be given greater attention than central tendency … characteristics. Thus, this paper proposes the application of Extreme Value Theory in computing an “Extreme VaR” to directly focus on …
Persistent link: https://www.econbiz.de/10013020236
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Essays in international economics and finance
Reidel, Demian Axel - 2006
Persistent link: https://www.econbiz.de/10003965691
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Estimating equilibrium exchange rates
Williamson, John (ed.) - 1994
Persistent link: https://www.econbiz.de/10000424298
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Les taux de change d'équilibre fondamentaux : de l'approche théorique à l'évaluation empirique
Borowski, Didier; Couharde, Cécile; Thibault, Florence - In: Revue française d'économie : RFE 13 (1998) 3, pp. 177-206
Persistent link: https://www.econbiz.de/10001417768
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Estimating time-varying DSGE models using minimum distance methods
Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011405253
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Are discretionary accruals a signal for a bright future? : evidence from an information search demand and supply matrix
Choi, Man-Seek - In: Journal of international trade & commerce 16 (2020) 1, pp. 41-56
Persistent link: https://www.econbiz.de/10012591152
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Heterogeneity and aggregate fluctuations
Chang, Minsu; Chen, Xiaohong; Schorfheide, Frank - 2021 - This version: May 20, 2021
Persistent link: https://www.econbiz.de/10012618274