Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Three Essays On Market Based Forecasting Models full books in PDF, epub, and Kindle. Read online Three Essays On Market Based Forecasting Models ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : 武亮
Publisher :
ISBN 13 :
Total Pages : 306 pages
Book Rating : 4.:/5 (795 download)
Download or read book Three Essays on Market-based Forecasting Models written by 武亮 and published by . This book was released on 2011 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Scott T. Murdoch
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (857 download)
Download or read book Three Essays on Forecasting in Nonlinear Models written by Scott T. Murdoch and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jason J. Wu
Publisher :
ISBN 13 :
Total Pages : 168 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Time Series Inference and Forecasting written by Jason J. Wu and published by . This book was released on 2007 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Brode
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (769 download)
Download or read book Three Essays on the Mathematics of Constructing and Forecasting Time-ordered Economic Models written by John Brode and published by . This book was released on 1980 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dong Yan
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (254 download)
Download or read book Three Essays on Economic Forecasting and Theory Examination written by Dong Yan and published by . This book was released on 2004 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter, Monte Carlo simulation and bootstrap methods are used to compare the actual and nominal coverage probabilities of prediction intervals constructed using the Prais-Winsten modified weighted symmetric least squares (PW-MWSLS) estimation method. The evidence suggests that the PW-MWSLS estimator, the best point predictor, for the linear trend model with first-order autoregressive errors also leads to prediction intervals with the most accurate coverage rates for the linear trend model with first-order autoregressive errors. The second chapter employs an innovative methodology to construct inflation expectations by incorporating information in the commodity futures market. The empirical results from the vector dynamic system show that the constructed expected rate of inflation series provides the best in-sample and out-of-sample forecasts over the sample period under investigation. Chapter three applies the constructed time series of inflation expectations in the second chapter to examine two broadly debated topics in the field of economics, the Fisher effect and the Phillips curve. The findings provide support for the existence of the short-run Fisher effect; and for the examination of the two main alternative specifications of the Phillips curve, the New Keynesian Phillips curve and the expectations-augmented Phillips curve, the empirical evidence is in favor of the former.
Author : Pauline Kennedy
Publisher :
ISBN 13 :
Total Pages : 256 pages
Book Rating : 4.:/5 (318 download)
Download or read book Three Essays on the Prediction and Identification of Currency Crises written by Pauline Kennedy and published by . This book was released on 2003 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Hui Zhu
Publisher :
ISBN 13 :
Total Pages : 226 pages
Book Rating : 4.:/5 (642 download)
Download or read book Three Essays on Updating Forecasts in Vector Autoregression Models written by Hui Zhu and published by . This book was released on 2010 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Forecasting firms' earnings has long been an interest of market participants and academics. Traditional forecasting studies in a multivariate time series setting do not take into account that the timing of market data release for a specific time period of observation is often spread over several days or weeks. This thesis focuses on the separation of announcement timing or data release and the use of econometric real-time methods, which we refer to as an updated vector autoregression (VAR) forecast, to predict data that have yet to be released. In comparison to standard time series forecasting, we show that the updated forecasts will be more accurate the higher the correlation coefficients among the standard VAR innovations are. Forecasting with the sequential release of information has not been studied in the VAR framework, and our approach to U.S. nonfarm payroll employment and the six Canadian banks shows its value. By using the updated VAR forecast, we conclude that there are relative efficiency gains in the one-step-ahead forecast compared to the ordinary VAR forecast, and compared to professional consensus forecasts. Thought experiments emphasize that the release ordering is crucial in determining forecast accuracy.
Author : Weifeng Weng
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.E/5 ( download)
Download or read book Three Essays on Resource Economics written by Weifeng Weng and published by . This book was released on 2000 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yu Guo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays in Macroeconomic Forecasting Using Dimensionality Reduction Methods written by Yu Guo and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Avuthu Rami Reddy
Publisher :
ISBN 13 :
Total Pages : 332 pages
Book Rating : 4.:/5 (438 download)
Download or read book Three Essays in Time Series Models of Futures Markets written by Avuthu Rami Reddy and published by . This book was released on 1999 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dimitris Korompilis-Magkas
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (861 download)
Download or read book Three Essays in Macroeconomic Forecasting Using Bayesian Model Selection written by Dimitris Korompilis-Magkas and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yoon Sung Shin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (815 download)
Download or read book Three Essays on Energy Economics and Forecasting written by Yoon Sung Shin and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains three independent essays relating energy economics. The first essay investigates price asymmetry of diesel in South Korea by using the error correction model. Analyzing weekly market prices in the pass-through of crude oil, this model shows asymmetric price response does not exist at the upstream market but at the downstream market. Since time-variant residuals are found by the specified models for both weekly and daily retail prices at the downstream level, these models are implemented by a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process. The estimated results reveal that retail prices increase fast in the rise of crude oil prices but decrease slowly in the fall of those. Surprisingly, retail prices rarely respond to changes of crude oil prices for the first five days. Based on collusive behaviors of retailers, this price asymmetry in Korea diesel market is explained. The second essay aims to evaluate the new incentive system for biodiesel in South Korea, which keeps the blend mandate but abolishes tax credits for government revenues. To estimate changed welfare from the new policy, a multivariate stochastic simulation method is applied into time-series data for the last five years. From the simulation results, the new biodiesel policy will lead government revenues to increases with the abolishment of tax credit. However, increased prices of blended diesel will cause to decrease demands of both biodiesel and blended diesel, so consumer and producer surplus in the transport fuel market will decrease. In the third essay, the Regression - Seasonal Autoregressive Integrated Moving Average (REGSARIMA) model is employed to predict the impact of air temperature on daily peak load demand in Houston. Compared with ARIMA and Seasonal Model, a REGARIMA model provides the more accurate prediction for daily peak load demand for the short term. The estimated results reveal air temperature in the Houston areas causes an increase in electricity consumption for cooling but to save that for heating. Since the daily peak electricity consumption is significantly affected by hot air temperature, this study makes a conclusion that it is necessary to establish policies to reduce urban heat island phenomena in Houston.
Author : Allen N. Berger
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (29 download)
Download or read book Essays on Testing Efficient Markets and Forecasts written by Allen N. Berger and published by . This book was released on 1983 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pablo Matias Pincheira Brown
Publisher :
ISBN 13 :
Total Pages : 204 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Macroeconometrics written by Pablo Matias Pincheira Brown and published by . This book was released on 2006 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joshua Andrew Brooks
Publisher :
ISBN 13 :
Total Pages : 143 pages
Book Rating : 4.:/5 (915 download)
Download or read book Three Essays on Investments and Time Series Econometrics written by Joshua Andrew Brooks and published by . This book was released on 2015 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three essays on investments and time series econometrics. This work gives new insight into the behavior of implied marginal tax rates, implied volatility, and option pricing models. The first essay examines the movement of implied marginal tax rates. A body of research points to the existence of implied marginal tax rates that can be extracted from security or derivative prices. We use the LIBOR-based interest rate swap curve and the MSI-based interest rate swap curve to examine changes in the implied tax rate. We document multiple statistically and economically significant structural breaks in the long-run implied marginal tax rate that are not exclusively located in the financial crisis (one as recent as October, 2010). These breaks represent persistent divergence from long run averages and indicate that mean reversion models may not accurately describe the stochastic processes of implied marginal tax rates. In the second essay, I develop an asymmetric time series model of the VIX. I show that the VIX and realized volatility display significant nonlinear effects which I approximate with a smooth-transition autoregressive model. I find that under certain regimes the VIX depends almost exclusively on previous realized volatility. Under other regimes, I find that the VIX depends on both its lags and previous realized volatility. Since the VIX has become a popular hedging instrument, this finding has important implications for risk managers who elect to use the VIX and its related investment vehicles. It also has implications for the use of implied volatility in value-at-risk forecasting. The third essay presents a new model for option pricing model selection. There is a significant performativity issue intrinsic in much of the option pricing literature. Once an option-pricing model (OPM) gains widespread acceptance, volatilities tend to move so that the OPM fits well with observed prices. This often leads to systematic mispricing based purely on model results. A number of systematic issues such as volatility smile are present in OPMs. To remedy this issue, I propose a new method for ranking OPMs based on one step ahead forecasts. This model transforms the data to build a distribution of the stochastic term present in OPM. This sample distribution is then tested for normality so that OPMs can be ranked in a Bayesian-like framework by their closeness to a normal distribution.
Author : Titus O. Awokuse
Publisher :
ISBN 13 :
Total Pages : 394 pages
Book Rating : 4.:/5 (423 download)
Download or read book Model Identification and Forecasting Under Structural Break written by Titus O. Awokuse and published by . This book was released on 1998 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Doleswar Bhandari
Publisher :
ISBN 13 :
Total Pages : 158 pages
Book Rating : 4.:/5 (556 download)
Download or read book Three Essays in Regional Economic Modeling written by Doleswar Bhandari and published by . This book was released on 2008 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is about regional economic modeling for understanding local economy, economic impact analysis and forecasting. In the first essay, I developed a nonspatial version of community policy analysis model for Missouri counties. In my second essay, I introduced space into my model. I specified and estimated a model using generalized spatial three-stage least square procedures. In my third essay, using South Korean regional data, I compared forecasting accuracy of non-spatial, spatial lag, spatial error and spatial lag and error model using in-sample data. I also compared the impact estimates of nonspatial and spatial models. The spatial components appear to improve the accuracy of the intra-county impacts. It appears that the estimated parameters tend to be sensitive to the specification of weight matrices if the sizes of spatial units are heterogeneous and vice versa. Employment is the main driver of each of the model.
