Results 251 to 260 of about 414,023 (345)
Measuring the Impact of Transition Risk on Financial Markets: A Joint VaR‐ES Approach
Journal of Forecasting, EarlyView.ABSTRACT Based on a joint quantile and expected shortfall semiparametric methodology, we propose a novel approach to forecasting market risk conditioned to transition risk exposure. This method allows us to forecast two climate‐related financial risk measures called CoClimateVaR$$ CoClimateVaR $$ and CoClimateES$$ CoClimateES $$, being jointly ...
Laura Garcia‐Jorcano +1 more
wiley +1 more source
The effect of total factor productivity of forestry industry on CO2 emissions: a spatial econometric analysis of China. [PDF]
Sci Rep, 2021 Zhong S, Wang H.
europepmc +1 more source
Electricity Demand in the United States: an Econometric Analysis
, 1973 T.D. Mount +2 more
openalex +1 more source
The Effects of Airline Deregulation on Airline Safety: An Econometric Analysis
, 2000 William De Jager
openalex +2 more sources
Real‐Time Forecasting Using Mixed‐Frequency VARs With Time‐Varying Parameters
Journal of Forecasting, EarlyView.ABSTRACT This paper provides a detailed assessment of the real‐time forecast accuracy of a wide range of vector autoregressive models that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed‐frequency time‐varying parameter vector autoregressive model with stochastic ...
Markus Heinrich, Magnus Reif
wiley +1 more source
Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions
Journal of Forecasting, EarlyView.Abstract Reverse Unrestricted MIxed DAta Sampling (RU‐MIDAS) regressions are used to model high‐frequency responses by means of low‐frequency variables. However, due to the periodic structure of RU‐MIDAS regressions, the dimensionality grows quickly if the frequency mismatch between the high‐ and low‐frequency variables is large.
Alain Hecq, Marie Ternes, Ines Wilms
wiley +1 more source
An econometric analysis of the mental‐health effects of major events in the life of older individuals [PDF]
, 2002 Maarten Lindeboom +2 more
openalex +1 more source
Fundamentals Models Versus Random Walk: Evidence From an Emerging Economy
Journal of Forecasting, EarlyView.ABSTRACT We analyze the predictive power of fundamentals versus random walk models for horizons from 1 to 24 months in an emerging market. Specifically, we investigate what fundamentals models outperform random walk during periods of appreciation and depreciation of the exchange rate.
Helder Ferreira de Mendonça +2 more
wiley +1 more source