What Explains International Interest Rate Co‐Movement?
Journal of Applied Econometrics, EarlyView.ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks.
Annika Camehl, Gregor von Schweinitz
wiley +1 more source
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
Exploring the Dynamics of Hemorrhagic Fever with Renal Syndrome Incidence in East China Through Seasonal Autoregressive Integrated Moving Average Models. [PDF]
Infect Drug Resist, 2020 Shi F +11 more
europepmc +1 more source
Monetary Policy Shocks and Exchange Rate Dynamics in Small Open Economies
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper investigates whether the effects of monetary policy shocks on real exchange rates have changed over time and, if so, whether these changes stem from shifts in transmission mechanisms or from variation in the volatility of the shocks themselves.
Madison Terrell +3 more
wiley +1 more source
Assessment of the outbreak risk, mapping and infection behavior of COVID-19: Application of the autoregressive integrated-moving average (ARIMA) and polynomial models. [PDF]
PLoS One, 2020 Pourghasemi HR +6 more
europepmc +1 more source
Metode Autoregressive Integrated Moving Average untuk Meramalkan Penjualan
, 2020 Emmelia Tan, Indri Astuti
openalex +2 more sources
Revisiting EWMA in High‐Frequency‐Based Portfolio Optimization: A Comparative Assessment
Journal of Applied Econometrics, EarlyView.ABSTRACT This paper compares the statistical and economic performance of state‐of‐the‐art high‐frequency (HF) based multivariate volatility models with a simpler, widely used alternative, the Exponentially Weighted Moving Average (EWMA) filter. Using over two decades of 100 U.S.
Laura Capera Romero, Anne Opschoor
wiley +1 more source
Time series prediction of under-five mortality rates for Nigeria: comparative analysis of artificial neural networks, Holt-Winters exponential smoothing and autoregressive integrated moving average models. [PDF]
BMC Med Res Methodol, 2020 Adeyinka DA, Muhajarine N.
europepmc +1 more source