Showing 1 - 10 of 14,955
This chapter examines the problems of dealing with trending type data when there is uncertainty over whether or not we really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory does not imply a unit root in the data however unit...
Persistent link: https://www.econbiz.de/10014023695
This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate...
Persistent link: https://www.econbiz.de/10014023693
This paper develops a dynamic portfolio selection model incorporating economic uncertainty for business cycles. It is assumed that the financial market at each point in time is defined by a hidden Markov model, which is characterized by the overall equity market returns and volatility. The risk...
Persistent link: https://www.econbiz.de/10014332538
We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation...
Persistent link: https://www.econbiz.de/10010421293
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10011995195
In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...
Persistent link: https://www.econbiz.de/10011996106
There is ample evidence from economic growth literature that investment accelerates economic growth and development of developing countries, of which Ghana is not an exception. Based on this, recent growth and development policies in Ghana have focused more on encouraging private sector...
Persistent link: https://www.econbiz.de/10011708739
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel...
Persistent link: https://www.econbiz.de/10011755318
We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regimeswitching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is...
Persistent link: https://www.econbiz.de/10012215393
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10011559137