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Modelling Energy Spot Prices by Lévy Semistationary Processes
Barndorff-Nielsen, Ole E. - 2010
This paper introduces a new modelling framework for energy spot prices based on Lévy semistationary processes. Lévy semistationary processes are special cases of the general class of ambit processes. We provide a detailed analysis of the probabilistic properties of such models and we show how...
Persistent link: https://www.econbiz.de/10013144201
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Ambit Processes and Stochastic Partial Differential Equations
Barndorff-Nielsen, Ole E. - 2010
Ambit processes are general stochastic processes based on stochastic integrals with respect to Lévy bases. Due to their flexible structure, they have great potential for providing realistic models for various applications such as in turbulence and finance. This papers studies the connection...
Persistent link: https://www.econbiz.de/10013144202
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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/10009130742
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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/10009151894
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Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy
Onatski, Alexei; Stock, James H. - 2001
This paper examines monetary policy in Rudebusch and Svensson's (1999) two equation macroeconomic model when the policymaker recognizes that the model is an approximation and is uncertain about the quality of that approximation. It is argued that the minimax approach of robust control provides a...
Persistent link: https://www.econbiz.de/10014156171
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General-to-Specific Modeling : An Overview and Selected Bibliography
Campos, Julia; Ericsson, Neil R.; Hendry, David F. - 2005
of reduction, summarizes the approach of general-to-specific modeling, and discusses the econometrics of model selection …This paper discusses the econometric methodology of general-to-specific modeling, in which the modeler simplifies an …, noting that general-to-specific modeling is the practical embodiment of reduction. This paper then summarizes fifty …
Persistent link: https://www.econbiz.de/10014062671
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Implications of Real-Time Data for Forecasting and Model Expectations
Kozicki, Sharon - 2002
evaluating survey forecasts and modeling expectations. For both of these types of empirical exercises, results suggest that the …
Persistent link: https://www.econbiz.de/10014118806
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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
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Causal Relations via Econometrics
Zaman, Asad - 2012
dominant approaches to causality in econometrics, and suggest why they fail to give good results. We feel the problem cannot be …
Persistent link: https://www.econbiz.de/10012712312
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Chapter 3. Spatial Methods
Gibbons, Steve; Overman, Henry G.; Patacchini, Eleonora - In: Handbook of regional and urban economics : volume 5, (pp. 115-168). 2015
This chapter is concerned with methods for analyzing spatial data. After initial discussion of the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...
Persistent link: https://www.econbiz.de/10014025316