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We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...
Persistent link: https://www.econbiz.de/10010536363
The fluctuation of a bilateral exchange rate in a target zone is often chosen as part of official agreements between two or more countries (such as in the European Monetary System - EMS) or of informal unilateral monetary policy packages a country adopts for itself. The defendability of such a...
Persistent link: https://www.econbiz.de/10010536445
Within models for nonnegative time series, it is common to encounter deterministic components (trends, seasonalities) which can be specified in a flexible form. This work proposes the use of shrinkage type estimation for the parameters of such components. The amount of smoothing to be imposed on...
Persistent link: https://www.econbiz.de/10010573801
When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error Model achieving a decomposition of each risk measure into a common systematic and an...
Persistent link: https://www.econbiz.de/10008606496
Within models for nonnegative time series, it is common to encounter deterministic components (trends, seasonalities) which can be specified in a flexible form. This work proposes the use of shrinkage type estimation for the parameters of such components. The amount of smoothing to be imposed on...
Persistent link: https://www.econbiz.de/10008871382
We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...
Persistent link: https://www.econbiz.de/10008677295
The transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...
Persistent link: https://www.econbiz.de/10005172410