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Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (731 download)
Download or read book Classical Time-varying FAVAR Models written by Sandra Eickmeier and published by . This book was released on 2011 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Classical Time-varying FVAR Models written by Sandra Eickmeier and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 50 pages
Book Rating : 4.:/5 (778 download)
Download or read book Classical Time-varying Favor Models - Estimation, Forecasting and Structural Analysis written by Sandra Eickmeier and published by . This book was released on 2011 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John B. Taylor
Publisher : Elsevier
ISBN 13 : 0444594787
Total Pages : 1376 pages
Book Rating : 4.4/5 (445 download)
Download or read book Handbook of Macroeconomics written by John B. Taylor and published by Elsevier. This book was released on 2016-12-01 with total page 1376 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. - Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research - Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Author : Siem Jan Koopman
Publisher : Emerald Group Publishing
ISBN 13 : 1785603523
Total Pages : 685 pages
Book Rating : 4.7/5 (856 download)
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author : George E. P. Box
Publisher : John Wiley & Sons
ISBN 13 : 111867491X
Total Pages : 712 pages
Book Rating : 4.1/5 (186 download)
Download or read book Time Series Analysis written by George E. P. Box and published by John Wiley & Sons. This book was released on 2015-06-02 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the Fourth Edition "The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." —Mathematical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject. Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models Numerous examples drawn from finance, economics, engineering, and other related fields The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting Updates to literature references throughout and new end-of-chapter exercises Streamlined chapter introductions and revisions that update and enhance the exposition Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.
Author : Sandra Eickmeier
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (13 download)
Download or read book Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis written by Sandra Eickmeier and published by . This book was released on 2016 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s.
Author : Peter Fuleky
Publisher : Springer Nature
ISBN 13 : 3030311503
Total Pages : 716 pages
Book Rating : 4.0/5 (33 download)
Download or read book Macroeconomic Forecasting in the Era of Big Data written by Peter Fuleky and published by Springer Nature. This book was released on 2019-11-28 with total page 716 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Author : Juan J. Dolado
Publisher : Emerald Group Publishing
ISBN 13 : 1803828315
Total Pages : 203 pages
Book Rating : 4.8/5 (38 download)
Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Author : Francesco Ravazzolo
Publisher : Rozenberg Publishers
ISBN 13 : 9051709145
Total Pages : 198 pages
Book Rating : 4.0/5 (517 download)
Download or read book Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and published by Rozenberg Publishers. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Author : Deutsche Bundesbank
Publisher :
ISBN 13 :
Total Pages : 624 pages
Book Rating : 4.F/5 ( download)
Download or read book Monthly Report written by Deutsche Bundesbank and published by . This book was released on 2011 with total page 624 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael P. Clements
Publisher : OUP USA
ISBN 13 : 0195398645
Total Pages : 732 pages
Book Rating : 4.1/5 (953 download)
Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.
Author : Andrew C. Harvey
Publisher : Cambridge University Press
ISBN 13 : 1107717140
Total Pages : 578 pages
Book Rating : 4.1/5 (77 download)
Download or read book Forecasting, Structural Time Series Models and the Kalman Filter written by Andrew C. Harvey and published by Cambridge University Press. This book was released on 1990-02-22 with total page 578 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book, Andrew Harvey sets out to provide a unified and comprehensive theory of structural time series models. Unlike the traditional ARIMA models, structural time series models consist explicitly of unobserved components, such as trends and seasonals, which have a direct interpretation. As a result the model selection methodology associated with structural models is much closer to econometric methodology. The link with econometrics is made even closer by the natural way in which the models can be extended to include explanatory variables and to cope with multivariate time series. From the technical point of view, state space models and the Kalman filter play a key role in the statistical treatment of structural time series models. The book includes a detailed treatment of the Kalman filter. This technique was originally developed in control engineering, but is becoming increasingly important in fields such as economics and operations research. This book is concerned primarily with modelling economic and social time series, and with addressing the special problems which the treatment of such series poses. The properties of the models and the methodological techniques used to select them are illustrated with various applications. These range from the modellling of trends and cycles in US macroeconomic time series to to an evaluation of the effects of seat belt legislation in the UK.
Author : Sascha Mergner
Publisher : Universitätsverlag Göttingen
ISBN 13 : 3941875221
Total Pages : 235 pages
Book Rating : 4.9/5 (418 download)
Download or read book Applications of State Space Models in Finance written by Sascha Mergner and published by Universitätsverlag Göttingen. This book was released on 2009 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance. The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios.
Author : Jörg Breitung
Publisher :
ISBN 13 : 9783865580979
Total Pages : 29 pages
Book Rating : 4.5/5 (89 download)
Download or read book Dynamic Factor Models written by Jörg Breitung and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey C. Fuhrer
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.3/5 ( download)
Download or read book Estimating Time-varying Parameters in a Nonlinear Multivariate Model written by Jeffrey C. Fuhrer and published by . This book was released on 1988 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. Wells
Publisher : Springer Science & Business Media
ISBN 13 : 940158611X
Total Pages : 181 pages
Book Rating : 4.4/5 (15 download)
Download or read book The Kalman Filter in Finance written by C. Wells and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.
