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Bayesian multivariate Beveridge-Nelson decomposition of I(1) and I(2) series with cointegration

Murasawa, Yasutomo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 387-415

Persistent link: https://www.econbiz.de/10013334834

Trend fundamentals and exchange rate dynamics

Huber, Florian; Kaufmann, Daniel - 2019

strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of … currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend …

Persistent link: https://www.econbiz.de/10012118184

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115