Mathematical Methods in Economics (MME 2020) International Conference [PDF]
Statistika: Statistics and Economy Journal, 2020 Petra Zýková, Josef Jablonský
doaj
Correction: Dementia as a predictor of palliative care: uncovering patient patterns based on German claims data. [PDF]
BMC Palliat CareRakuša E +5 more
europepmc +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
International Conference Mathematical Methods in Economics (MME 2019) [PDF]
Statistika: Statistics and Economy Journal, 2020 Petra Zýková, Josef Jablonský
doaj
Capybara: Efficient estimation of generalized linear models with high-dimensional fixed effects. [PDF]
PLoS OneSepulveda MV.
europepmc +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
Entropy-based analysis of Rift Valley fever transmission dynamics using delay differential equations. [PDF]
PLoS OneRaza A +4 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
Asymptotic Analyses [Analysis] for an Exponential Hedging Problem (Mathematical Economics)
, 2004 Jun Sekine
openalex +1 more source
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