The Impacts of Ethanol on the US Catfish Farm Sector [PDF]
In this study, we estimated catfish feed and farm price reduced form equations. Of particular importance was the impact of the recent increase in grain prices induced by ethanol production on feed cost and farm prices.
Herndon, Cary W., Jr. +2 more
core +1 more source
The Estimation of Mixed Regression, Autoregression, Moving Average, and Distributed Lag Models [PDF]
Econometrica, 1972 E.J. Hannan, D.F. Nichols
openaire +2 more sources
Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices
Journal of Forecasting, EarlyView.ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer +3 more
wiley +1 more source
Estimating Money Demand Function in Cambodia: ARDL Approach [PDF]
This paper empirically estimates the money demand function in Cambodia. We adopt the money demand model that includes exchange rate. For the analysis, Autoregressive Distributed Lag (ARDL) approach to cointegration is employed.
Samreth, Sovannroeun
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A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables [PDF]
This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income.
Baek, Jungho, Koo, Won W.
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Asian Financial Crisis and the J-Curve: Evidence from South Korea [PDF]
Using an error correction version of an autoregressive distributed lag model, we investigate the dynamics of the Korean J-Curve against her eight trading partners.
Artatrana Ratha, Eungmin Kang
core +4 more sources
An investigation on trade openness, fiscal policy and economic growth in Malaysia: Using an ARDL bounds testing approach [PDF]
, 2009 This study examines the impacts of trade openness and fiscal policy on economic growth in Malaysia between 1970 and 2003 using the autoregressive distributed lag (ARDL) approach and bounds test as proposed by Pesaran et al. (2001).
Abdullah, Hussin +1 more
core
Coherent Forecasting of Realized Volatility
Journal of Forecasting, EarlyView.ABSTRACT The QLIKE loss function is the stylized favorite of the literature on volatility forecasting when it comes to out‐of‐sample evaluation and the state of the art model for realized volatility (RV) forecasting is the HAR model, which minimizes the squared error loss for in‐sample estimation of the parameters.
Marius Puke, Karsten Schweikert
wiley +1 more source
ADL tests for threshold cointegration [PDF]
In this paper, we propose new tests for threshold cointegration in the autoregressive distributed lag (ADL) model. The indicators in the threshold model are based on either a nonstationary or stationary threshold variable.
Jing Li, Junsoo Lee
core