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Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets

Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207

Persistent link: https://www.econbiz.de/10012271374

Measurement of filters' efficiencies and application of NNSFDI method

Bildirici, Melike E.; Alp, Selçuk - In: Economic research 25 (2012) 4, pp. 937-957

Persistent link: https://www.econbiz.de/10009706525

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

Modelling income data with exogenous measurement factors

Penny, Richard - In: New Zealand economic papers 54 (2020) 3, pp. 274-284

Persistent link: https://www.econbiz.de/10012384438

A model-based measurement device in European fiscal policy-making : the ontology and epistemology of potential output

Heimberger, Philipp; Kapeller, Jakob - 2016

While the development of scientific theories and measurement concepts has always been strongly intertwined, model … this paper, we analyze the ontological and epistemological characteristics of such a model-based measurement device in an … implementation of measurement techniques as well as the application and interpretation of measurement outcomes. …

Persistent link: https://www.econbiz.de/10011779629

Improving output gap estimation : a bottom-up approach

Rathke, Alexander; Streicher, Sina - 2023

We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...

Persistent link: https://www.econbiz.de/10014427292

Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market

de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21

In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...

Persistent link: https://www.econbiz.de/10011760331

Emerging market business cycles revisited : learning about the trend

Boz, Emine; Daude, Christian; Durdu, Ceyhun Bora - 2008

Persistent link: https://www.econbiz.de/10003997779

Emerging market business cycles revisited : learning about the trend

Boz, Emine; Daude, Christian; Durdu, C. Bora - 2011

We build an equilibrium business cycle model in which agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks and learn about those components using the Kalman filter. Calibrated to Mexico, the model predicts a higher variability of consumption relative...

Persistent link: https://www.econbiz.de/10008988424

Information transmission across stock indices and stock index futures : international evidence using wavelet framework

Aloui, Chaker; Hkiri, Besma; Lau, Chi Keung; Yarovaya, … - In: Research in international business and finance 44 (2018), pp. 411-421

Persistent link: https://www.econbiz.de/10011983072

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