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Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates

Psaradakis, Zacharias G. (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10003558927

Multivariate contemporaneous-threshold autoregressive models

Dueker, Michael; Psaradakis, Zacharias G.; Sola, Martin; … - In: Journal of econometrics 160 (2011) 2, pp. 311-325

Persistent link: https://www.econbiz.de/10009242250

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016

This paper examines the effects of newspaper headlines on the exchange rates vis-à-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000- 12/5/2013. The estimated VAR-GARCH(1,1)...

Persistent link: https://www.econbiz.de/10011421883

Macro news and exchange rates in the BRICS

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2016

This paper examines the effects of newspaper headlines on the exchange rates visa-a-vis both the US dollar and the euro for the currencies of the BRICS (Brazil, Russia, India, China and South Africa). The data are daily and cover the period 03/1/2000-12/5/2013. The estimated VAR-GARCH(1,1) model...

Persistent link: https://www.econbiz.de/10011422554

Estimating and forecasting the yield curve using a Markov switching dynamic Nelson and Siegel model

Hevia, Constantino; González Rozada, Martín; Sola, Martin - In: Journal of applied econometrics 30 (2015) 6, pp. 987-1009

Persistent link: https://www.econbiz.de/10011431680

Macro news and commodity returns

Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2015

This paper adopts a VAR-GARCH approach to model the dynamic linkages between both the mean and the variance of macro news and commodity returns (Gold, Corn, Wheat, Soybeans, Silver, Platinum, Palladium, Copper, Aluminium and Crude Oil) over the period 01/01/2001-26/09/2014. The chosen...

Persistent link: https://www.econbiz.de/10011336938