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(Structural) VAR models with ignored changes in mean and volatility

Demetrescu, Matei; Salish, Nazarii - In: International journal of forecasting 40 (2024) 2, pp. 840-854

Persistent link: https://www.econbiz.de/10014547211

A MIDAS approach to modeling first and second moment dynamics

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334

Persistent link: https://www.econbiz.de/10011704952

Time-varying autoregressive distributed lag model with changing volatility for stress test

Zhou, Leilei; Zhu, Wei - In: Journal of risk management in financial institutions 14 (2020/2021) 2, pp. 195-208

Persistent link: https://www.econbiz.de/10012613982

Real Exchange Rate Forecasting and PPP : This Time the Random Walk Loses

Ca' Zorzi, Michele - 2017

(HL) model is able to forecast real exchange rates better than the random walk (RW) model at both short and long …

Persistent link: https://www.econbiz.de/10012971234

Real exchange rate forecasting and PPP : this time the random walk loses

Ca'Zorzi, Michele; Muck, Jakub; Rubaszek, Michal - In: Open economies review 27 (2016) 3, pp. 585-609

Persistent link: https://www.econbiz.de/10011716953

Analysts versus the random walk in financial forecasting : evidence from the Czech National Bank's Financial Market Inflation Expectations survey

Kladívko, Kamil; Österholm, Pär - In: Applied economics 56 (2024) 17, pp. 2077-2088

Persistent link: https://www.econbiz.de/10014475262

Date-stamping US housing market explosivity

Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017

In this paper, the authors set out to date-stamp periods of US housing price explosivity for the period 1830-2013. They make use of several robust techniques that allow them to identify such periods by determining when prices start to exhibit explosivity with respect to its past behaviour and...

Persistent link: https://www.econbiz.de/10011674010

Selected techniques of detecting structural breaks in financial volatility

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm … breaks in volatility, while Cheng's technique works well only when a single break occurs. …

Persistent link: https://www.econbiz.de/10011393264

Investigating new sources of information and nonlinearities on financial markets

Behrendt, Simon - 2020

Persistent link: https://www.econbiz.de/10012415028

Nonstationary-volatility robust panel unit root tests and the great moderation

Hanck, Christoph; Czudaj, Robert - 2013

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on … from sometimes severe size distortions in the presence of nonstationary volatility, and that this defect can be remedied …

Persistent link: https://www.econbiz.de/10009779045