To measure the deforestation reduced by a policy, we need to compare deforestation rates under a policy with deforestation rates in the absence of policy. Unfortunately the deforestation rate in the absence of a policy, or reference rate, is ex ante difficult to forecast and ex post impossible...

Trend analysis and forecasting of time series data on air-pollutants is important to design effective measures to minimize damages to ecosystems and human health. In this study, autoregressive, moving average, autoregressive-moving average and autoregressive integrated moving average processes...

Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available. Moreover, several methodological contributions rely on simulated data to showcase the potential of proposed methods. While simulations may be useful to evaluate the properties of...

Most quantitative assessments of civil conflict draw on annual country-level data to determine a baseline hazard of conflict onset. The first problem with such analyses is that they ignore factors associated with the precipitation of violence, such as elections and natural disasters and other...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

The paper investigates the extent to which the dollar/sterling exchange rate fluctuations affect coffee and cocoa futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that traders in perfectly competitive markets have equal access...

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...

A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive...

This paper analyzes the relationship between stock returns and exchange rate changes in international markets and examines how well exchange rate volatility explains movements in stock market returns. The model-based predictions are evaluated on several cost functions. Results from such analysis...