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Weighted Maximum Likelihood for Risk Prediction
Steude, Sven C. - National Centre of Competence in Research - Financial … - 2011
Most time series models used in econometrics and empirical finance are estimated withmaximum likelihood methods, in …
Persistent link: https://www.econbiz.de/10009486847
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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Modelling multivariate autoregressive conditional heteroskedasticity with double smooth transition conditional correlation GARCH model
Silvennoinen, Annastiina (contributor);  … - 2007
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...
Persistent link: https://www.econbiz.de/10003411196
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Improving the teaching of econometrics
Hendry, David F.; Mizon, Grayham E. - In: Cogent economics & finance 4 (2016) 1, pp. 1-26
We recommend a major shift in the Econometrics curriculum for both graduate and undergraduate teaching. It is essential … conducting empirical macroeconomic research. We focus on a new approach to macro-econometrics teaching, since even undergraduate … econometrics courses must include analytical methods for time series that exhibit both evolution from stochastic trends and abrupt …
Persistent link: https://www.econbiz.de/10011487537
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Which parametric model for conditional skewness?
Feunou, Bruno; Jahan-Parvar, Mohammad R.; Tédongap, Roméo - 2013
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. We find...
Persistent link: https://www.econbiz.de/10009789539
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The Link between Statistical Learning Theory and Econometrics : Applications in Economics, Finance, and Marketing
Maasoumi, Esfandiar - 2016
Statistical Learning Theory and Econometrics are closely related, much of the development in each of the areas is seemingly …
Persistent link: https://www.econbiz.de/10013004361
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Econometric Analysis of Currency Substitution : A Case of Latvia
Sarajevs, Vadims - 2007
The paper provides a comprehensive econometric analysis of currency substitution for Latvia. Rather than drawing inferences on the degree of currency substitution from domestic money demand modelling, the most common approach to empirical analysis of the phenomenon, direct modelling of currency...
Persistent link: https://www.econbiz.de/10012729027
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Dollarization in Lithuania : An Econometric Approach
Vetlov, Igor - 2007
The paper analyses the factors driving dollarization in Lithuania during the period from December 1992 to August 2000. Starting with a brief overview of the major economic and political developments in Lithuania, the study attempts to model the process of dollarization by applying rigorous time...
Persistent link: https://www.econbiz.de/10012729033
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System Priors for Econometric Time Series
Andrle, Michal - 2017
The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool to incorporate prior knowledge into an economic model. Unlike priors about...
Persistent link: https://www.econbiz.de/10012966549
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Continuous-Time Modeling in Econometrics and Engineering
Cate, Arie Ten - 2016
This paper discusses a widely used discrete-time analog of dynamic continuous-time models. This analog can not be used for the estimation of models with fast adaption to shocks. This has been overlooked in the econometric literature. In the engineering literature this same analogon is defined,...
Persistent link: https://www.econbiz.de/10014191496