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Welfare cost of inflation in Brazil : an approach with time-varying cointegration and Kalman Filter

Campos, Eduardo Lima; Cysne, Rubens Penha - 2018

Persistent link: https://www.econbiz.de/10011898482

A parametric approach for estimating core inflation and interpreting the inflation process

Apel, Mikael; Jansson, Per - In: Measures of underlying inflation and their role in the …, (pp. 1-22). 1999

Persistent link: https://www.econbiz.de/10001461753

Trend inflation in Sweden

Österholm, Pär; Poon, Aubrey - 2022

In this paper, we estimate trend inflation in Sweden using an unobserved components stochastic volatility model. Using … data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the … period - although in general at a level below the inflation target - and it does not appear to have been affected much by the …

Persistent link: https://www.econbiz.de/10012818429

The case for Divisia monetary statistics : a Bayesian time-varying approach

Ellington, Michael - In: Journal of economic dynamics & control 96 (2018), pp. 26-41

Persistent link: https://www.econbiz.de/10012004934

The comovment between money and economic growth in 15 Asia-Pacific countries : wavelet coherency analysis in time-frequency domain

Tsai, Su-Ling; Chang, Tsangyao - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 63-79

Persistent link: https://www.econbiz.de/10012020116

Non-parametric estimation of forecast distributions in non-Gaussian, non-linear state space models

Ng, Jason; Forbes, Catherine Scipione; Martin, Gael M.; … - In: International journal of forecasting 29 (2013) 3, pp. 411-430

Persistent link: https://www.econbiz.de/10009787038

Regime switching stochastic volatility with skew, fat tails and leverage using returns and realized volatility contemporaneously

Trojan, Sebastian - 2013

Persistent link: https://www.econbiz.de/10010243571

Modeling intraday stochastic volatility and conditional duration contemporaneously with regime shifts

Trojan, Sebastian - 2014

Persistent link: https://www.econbiz.de/10010437483

Time-varying combinations of Bayesian dynamic models and equity momentum strategies

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

A novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive model and...

Persistent link: https://www.econbiz.de/10011563065

On modelling and forecasting predictable components in European stock markets

Kiani, Khurshid M. - In: Computational economics 48 (2016) 3, pp. 487-502

Persistent link: https://www.econbiz.de/10011712528