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This paper revisits the Kareken-Wallace model of exchange rate formation in a two-country overlapping generations world. Following the seminal paper by Arifovic (Journal of Political Economy, 104, 1996, 510 - 541) we investigate a dynamic version of the model in which agents' decision rules are...
Persistent link: https://www.econbiz.de/10001739289
Financial time series usually exhibit non-stationarity and time-varying volatility. Extraction and analysis of complicated patterns, such as trends and transient changes, are at the core of modern financial data analytics. Furthermore, efficient and timely analysis is often hindered by large...
Persistent link: https://www.econbiz.de/10013000467
We consider a prototypical representative-agent forward-looking model, and study the low frequency variability of the data when the agent's beliefs about the model are updated through linear learning algorithms. We find that learning in this context can generate strong persistence. The degree of...
Persistent link: https://www.econbiz.de/10013075046
We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...
Persistent link: https://www.econbiz.de/10012894079
A learning task is sequential if its data samples become available over time. Kernel adaptive filters (KAF) are sequential learning algorithms. There are two main challenges in KAF: (1) the lack of an effective method to determine the kernel-sizes in the online learning context; (2) how to tune...
Persistent link: https://www.econbiz.de/10012896243
It can be shown that inflation expectations and associated forecast errors are characterized by a high degree of persistence. One reason may be that forecasters cannot directly observe the inflation target pursued by the central bank and, hence, face a complicated forecasting problem. In...
Persistent link: https://www.econbiz.de/10008858930
Hauptinteresse geht dahin, herauszufinden, ob die Gleichgewichtsdynamik, die aus diesem Lernprozess resultiert, dabei helfen kann …
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