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The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets
Mielus, Piotr - 2015
The paper presents examples of application of error correction models (ECM) in forecasting daily changes of market volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed correlation between daily changes of spot rates and daily...
Persistent link: https://www.econbiz.de/10013020691
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Seasonal adjustment versus seasonality modelling : effect on tourism demand forecasting
Gasmi, Amira - In: Advances in management & applied economics 3 (2013) 4, pp. 119-132
In this study, we treat the seasonal variation in monthly time series in the context of the Western-European tourism demand for Tunisia, by presenting different techniques of detection of seasonality and the parametric and non-parametric approaches of seasonal adjustment. Then, we compare the...
Persistent link: https://www.econbiz.de/10009762132
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Modelling cross-dependencies between Spain's regional tourism markets with an extension of the Gaussian process regression model
Claveria, Oscar; Monte, Enric; Torra, Salvador - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 3, pp. 341-357
This study presents an extension of the Gaussian process regression model for multiple-input multiple-output forecasting. This approach allows modelling the cross-dependencies between a given set of input variables and generating a vectorial prediction. Making use of the existing correlations in...
Persistent link: https://www.econbiz.de/10011537542
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Tourism Demand Forecasting with Different Neural Networks Models
Claveria, Oscar - 2014
This paper aims to compare the performance of different Artificial Neural Networks techniques for tourist demand forecasting. We test the forecasting accuracy of three different types of architectures: a multi-layer perceptron, a radial basis function and an Elman network. We also evaluate the...
Persistent link: https://www.econbiz.de/10013045968
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A Multivariate Neural Network Approach to Tourism Demand Forecasting
Claveria, Oscar - 2014
international tourism demand to Catalonia (Spain) from 2001 to 2012. By means of cointegration analysis we find that growth rates of …
Persistent link: https://www.econbiz.de/10013045969
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A Forecasting Test for the Reliability of Wage Data
Reade, James; Garcia-del-Barrio, Pedro - 2023
It has been established in the economics literature that competitive outcomes can be well predicted by the aggregate salaries of the contesting participants. In this paper we use this idea to construct a forecast test to evaluate a novel, and hitherto unevaluated source of wage data. If the...
Persistent link: https://www.econbiz.de/10014358366
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The global financial crisis and its transmission to Asia Pacific
Polimenis, Vassilis; Neokosmidis, Ioannis - In: Journal of management analytics 1 (2014) 4, pp. 266-284
Persistent link: https://www.econbiz.de/10011729838
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
credit quality of sovereign debt. The analysis of correlations, Granger causality, cointegration, and the results of an error …
Persistent link: https://www.econbiz.de/10010373349
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Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference
Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2013
Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...
Persistent link: https://www.econbiz.de/10010187546
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Indirect contagion : the policy problem
Clerc, Laurent; Giovannini, Alberto; Langfield, Sam; … - 2016
possible channel of contagion from the infected region to the rest of the world. Focusing on, say, the incidence of close human … can become big and global. Much of the empirical finance literature has focused only on "direct" contagion arising from … firms' contractual obligations. Direct contagion occurs if one firm's default on its contractual obligations triggers …
Persistent link: https://www.econbiz.de/10011972870