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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

Missing-data imputation in nonstationary panel data models

Kang, Wensheng - 2011

Persistent link: https://www.econbiz.de/10009698153

Nonparametric testing for long-run neutrality with applications to US money and output data

Lee, Jin - In: Computational economics 40 (2012) 2, pp. 183-202

Persistent link: https://www.econbiz.de/10009627469

Is more still better? : revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - 2009

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

Persistent link: https://www.econbiz.de/10009419466

Penalized spline smoothing in financial and economic research

Wegener, Michael - 2012

Persistent link: https://www.econbiz.de/10009719940

Is monthly US natural gas consumption stationary? : new evidence from a GARCH unit root test with structural breaks

Mishra, Vinod; Smyth, Russell - 2014

Persistent link: https://www.econbiz.de/10010246088

Which continuous-time model is most appropriate for exchange rates?/ Deniz Erdemlioglu; S´ebastien Laurent; Christopher J. Neely

Erdemlioglu, Deniz; Laurent, S´ebastien; Neely, … - 2013

Persistent link: https://www.econbiz.de/10009791133

Analyzing dependence structure of equity, bond and money markets by using time-varying copulas

Nguyen, Cuong; Nguyen, Tristan - In: International journal of economics and finance 6 (2014) 3, pp. 37-54

Persistent link: https://www.econbiz.de/10010339644

Measuring financial cycles in a model-based analysis : empirical evidence for the United States and the euro area

Galati, Gabriele; Hindrayanto, Irma; Koopman, Siem Jan; … - 2016

We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...

Persistent link: https://www.econbiz.de/10011456728

Fourier analysis for stock price forecasting : assumption and evidence

Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380

Persistent link: https://www.econbiz.de/10011517950