Results 11 to 20 of about 1,195,709 (313)
Learning, forecasting and structural breaks [PDF]
Journal of Applied Econometrics, 2008 AbstractWe provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation.
John M Maheu, Stephen Gordon
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Equity premium prediction: keep it sophisticatedly simple
Quantitative Finance and Economics, 2021 Following the keep-it-sophisticatedly-simple principle, KISS, we propose using the averaging window approach to forecast the market equity premium in unstable environments.
Anwen Yin
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Data, 2021 Economics suffers from a blurred view of the economy due to the delay in the official publication of macroeconomic variables and, essentially, of the most important variable of real GDP.
Pradeep Mishra +13 more
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Mathematics, 2022 This study utilizes a bivariate BEKK-EGARCH model with the setting of a structural break to investigate whether the interactions between stock indices in emerging and developed markets are different in terms of region, emerging stock indices, and ...
Jung-Bin Su
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Scalable structural break detection [PDF]
Applied Soft Computing, 2012 This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved ...
Elteto, Tamas +3 more
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Smooth Break Detection and De-Trending in Unit Root Testing
Mathematics, 2021 This study explores the methods to de-trend the smooth structural break processes while conducting the unit root tests. The two most commonly applied approaches for modelling smooth structural breaks namely the smooth transition and the Fourier functions
Furkan Emirmahmutoglu +3 more
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Oil Revenue Uncertainty, Sanctions and the Volatility of Macroeconomic Variables [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2020 The IMF reports that, over 60% of foreign trade income and 40% of government revenue of Iran comes from the oil and gas sectors, which has always been a source of volatilities in the economy.
Gholamreza Keshavarz Haddad +2 more
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Changepoint in Error-Prone Relations
Mathematics, 2021 Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment.
Michal Pešta
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İstanbul Gelişim Üniversitesi Sosyal Bilimler Dergisi, 2023 In the study, the relationship between stock, commodity, foreign exchange and digital money markets is analyzed in a way that takes into account the structural breaks in the country's economy, and a large literature study is included. Analysis used daily
Namıka Boyacıoğlu +2 more
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Unit Roots and Structural Breaks [PDF]
Econometrics, 2017 This special issue deals with problems related to unit roots and structural change, and the interplay between the two.[...]
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