Results 91 to 100 of about 63,609 (288)

Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice [PDF]

We improve both the specification and estimation of firm-specific betas. Time variation in betas is modeled by combining a parametric specification based on economic theory with a non-parametric approach based on data-driven filters.
Bauer, R.M.M.J., Cosemans, M., Frehen, R.G.P., Schotman, P.C.   +3 more
core   +1 more source

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

Bayesian Value-at-Risk for a Portfolio: Multi- and Univariate Approaches Using MSF-SBEKK Models [PDF]

The s-period ahead Value-at-Risk (VaR) for a portfolio of dimension n is considered and its Bayesian analysis is discussed. The VaR assessment can be based either on the n-variate predictive distribution of future returns on individual assets, or on the ...
Anna Pajor, Jacek Osiewalski
core  

Count Data Models With Heterogeneous Peer Effects Under Rational Expectations

Journal of Applied Econometrics, EarlyView.
ABSTRACT This paper develops a peer effect model for count responses under rational expectations. The model accounts for heterogeneity in peer effects across groups based on observed characteristics. Identification is based on the linear model condition that requires the presence of friends of friends who are not direct friends.
Aristide Houndetoungan
wiley   +1 more source

Forecasting Selected Commodities’ Prices with the Bayesian Symbolic Regression

International Journal of Financial Studies
This study firstly applied a Bayesian symbolic regression (BSR) to the forecasting of numerous commodities’ prices (spot-based ones). Moreover, some features and an initial specification of the parameters of the BSR were analysed.
Krzysztof Drachal, Michał Pawłowski
doaj   +1 more source

Spatial Econometric Issues for Bio-Economic and Land-Use Modeling [PDF]

We survey the literature on spatial bio-economic and land-use modelling and review thematic developments. Unobserved site-specific heterogeneity is common in almost all of the surveyed works.
Holloway, Garth J., Lacombe, Donald J., LeSage, James P.   +2 more
core   +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

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, Qazi Haque, Jamie L. Cross, Firmin Doko Tchatoka   +3 more
wiley   +1 more source

Modified generalized Chen distribution, estimation and application using econometrics data

Scientific African
In this study, a variant of the generalized Chen (GC) distribution with parameters α, β, γ, δ, and λ, termed the Modified Generalized Chen (MGC) distribution, was introduced.
Owens Ogheneochuko Akpojaro, Charles Okechukwu Aronu   +1 more
doaj   +1 more source

Bayesian estimation of the gaussian mixture garch model [PDF]

, 2005
In this paper, we perform Bayesian inference and prediction for a GARCH model where the innovations are assumed to follow a mixture of two Gaussian distributions.
Ausín Olivera, María Concepción, Galeano, Pedro   +1 more
core   +1 more source