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Empirical Modeling of Contagion; A Review of Methodologies
Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10005825971
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
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Forecasting Profitability
Rosenzweig, Mark; Udry, Christopher - eSocialSciences - 2013
Newly-available Indian panel data is used to estimate how the returns to planting-stage investments vary by rainfall realizations. [BREAD Working Paper No. 392]. URL:[http://ipl.econ.duke.edu/bread/papers/working/392.pdf].
Persistent link: https://www.econbiz.de/10010945552
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House Prices and Replacement Cost: A Micro-Level Analysis
Schulz, Rainer; Werwatz, Axel - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
According to housing investment models, house prices and replacement costshould have an equilibrating relationship. Previous empirical work|mainlybased on aggregate-level data|has found only little evidence of such a relationship.By using a unique data set, covering transactions of...
Persistent link: https://www.econbiz.de/10005860743
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AN EMPIRICAL INVESTIGATION OF THE FORECASTACCURACY OF PLAY-MONEY PREDICTION MARKETS ANDPROFESSIONAL BETTING MARKETS
Slamka, Christian; Luckner, Stefan; Seemann, Thomas; … - Karlsruher Institut für Technologie - 2008
Prediction markets have proven high forecasting performance in many areas such as politics, sportsand business …
Persistent link: https://www.econbiz.de/10005864131
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How informative are macroeconomicrisk forecasts?An examination of the Bank of England’sinflation forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
Macroeconomic risk assessments play an important role in the forecasts of manyinstitutions. However, to the best of our knowledge their performance has notbeen investigated yet. In this work, we study the Bank of England’s risk forecastsfor inflation. We find that these forecasts do not...
Persistent link: https://www.econbiz.de/10005866177
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Comparing the DSGE modelwith the factor model:an out-of-sample forecasting experiment
Wang, Mu-Chun - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic …
Persistent link: https://www.econbiz.de/10005866191
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International asset prices : empirical evidence
Leonardo Morales-Arias - 2009
The recently witnessed financial turmoil and the current international stability context have demonstrated the need for a deeper understandingabout ex-ante international asset price fluctuations. Moreover, it is now more evident that very little is known about real estate securities and their...
Persistent link: https://www.econbiz.de/10009429017
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An alternative method to produce prices received estimates.
Donaldson, W.W.; Klugh, B.F. Jr. - 1988
recommend that the Agency adopt this composite forecasting method, that uses time series analysis and current National …
Persistent link: https://www.econbiz.de/10009429494
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Management of supply chain: an alternative modelling technique for forecasting
Datta, Shoumen; Granger, C W J; Barari, M; Gibbs, T - 2007
Forecasting is a necessity almost in any operation. However, the tools of forecasting are still primitive in viewof the … data. This paper proposes some modifications to adaptan advanced forecasting technique (GARCH) with the aim to develop it …The tools of forecasting (software) in general business use are still primitive in view of the strides made by research …
Persistent link: https://www.econbiz.de/10009433267