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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

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

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

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Modeling the dynamics of EU economic sentiment indicators: an interaction-based approach

Ghonghadze, Jaba; Lux, Thomas - 2009

-of-sample forecasting capacity relative to univariate time series models of the ARMA(p; q) and ARFIMA(p; d; q) varieties. These tests speak …

Persistent link: https://www.econbiz.de/10010263547

Forecasting euro-area variables with German pre-EMU data

Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006

period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …

Persistent link: https://www.econbiz.de/10010263654

Exchange rate uncertainty and trade growth: A comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut; Weber, Henning - 2007

addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …

Persistent link: https://www.econbiz.de/10010263693

Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10010264085

Untersuchungen zur Bemessungsgrundlage und zum kassenmäßigen Aufkommen der Steuern vom Umsatz

Boss, Alfred - 1997

did not become weaker in the 1990s. Thus it is justified to use traditional methods in forecasting the VAT revenues. …

Persistent link: https://www.econbiz.de/10010265341

Predicting inflation in Euroland: the Pstar approach

Scheide, Joachim; Trabandt, Mathias - 2000

Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...

Persistent link: https://www.econbiz.de/10010265458