Results 91 to 100 of about 18,485,845 (167)

Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic [PDF]

This paper examines (real-time) equilibrium interest rates in the Czech Republic in 2001:1-2005:12 estimating various specifications of simple Taylor-type monetary policy rules. First, we estimate it using GMM.
Horvath, Roman
core   +2 more sources

A Bayesian model calibration framework for stochastic compartmental models with both time-varying and time-invariant parameters

Infectious Disease Modelling
We consider state and parameter estimation for compartmental models having both time-varying and time-invariant parameters. In this manuscript, we first detail a general Bayesian computational framework as a continuation of our previous work ...
Brandon Robinson, Philippe Bisaillon, Jodi D. Edwards, Tetyana Kendzerska, Mohammad Khalil, Dominique Poirel, Abhijit Sarkar   +6 more
doaj   +1 more source

Learning and Time-Varying Macroeconomic Volatility [PDF]

This paper presents a DSGE model in which agents' learning about the economy can endogenously generate time-varying macroeconomic volatility. Economic agents use simple models to form expectations and need to learn the relevant parameters.
Fabio Milani
core  

Age and crack length effects on fracture parameters of dam gallery concrete: Experimental investigation and modeling

Case Studies in Construction Materials
Cracks of varying lengths may occur in galleries throughout dam construction, operation, and management processes. This study investigates the influence of age and crack length on the fracture parameters of gallery concrete, which is crucial for ...
Xiaofeng Gao, Mingli Ji, Yu Hu, Weidong Ruan, Mengxia Zhou, Zhihong Liu   +5 more
doaj   +1 more source

Time-Varying Currency Betas: Evidence from Developed and Emerging Markets [PDF]

This paper examines the conditional time-varying currency betas from five developed markets and four emerging markets. A trivariate BEKK-GARCH-in-mean model is used to estimate the timevarying conditional variance and covariance of returns of stock index,
Prabhath Jayasinghe, Albert K. Tsui
core  

Identifying yield stability over time via time-varying GARCH processes and multivariate Horseshoe priors

, 2023
Little is known about how grassland yield stability changes over time, where yield stability reflects the variance in yield, with higher-yielding grassland typically being less stable.
Maclaren, C., Hassall, K. L., Addy, J.
core  

A General Framework for Observation Driven Time-Varying Parameter Models [PDF]

We propose a new class of observation driven time series models that we refer to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled likelihood score. This provides a unified and consistent framework for
Andre Lucas, Drew Creal, Siem Jan Koopman   +2 more
core  

Smooth-Time-Varying Okun's Coefficients

, 2011
Motivated by a simple theoretical model, this paper proposes a novel smooth-time-varying-parameter approach for estimating Okun's coefficients using U.S. quarterly data from 1948:Q1 to 2006:Q1.
黃河泉; Huang, Ho-chuan; 林淑琴; Lin, Shu-chin
core   +1 more source

A Linear Parameter-Varying Framework for the Analysis of Time-Varying Optimization Algorithms

CoRR
In this paper we propose a framework to analyze iterative first-order optimization algorithms for time-varying convex optimization. We assume that the temporal variability is caused by a time-varying parameter entering the objective, which can be measured at the time of decision but whose future values are unknown.
Fabian Jakob, Andrea Iannelli
openaire   +3 more sources

Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds [PDF]

We use a panel cointegration model with multiple time- varying individual effects to control for the missing factors in the credit spread puzzle. Our model specification enables as to capture the unobserved dynamics of the systematic risk premia in the ...
Kneip, Alois, Bada, Oualid
core