Zobrazeno 1 - 10
of 55
pro vyhledávání: '"101026 Zeitreihenanalyse"'
Autor:
Anthony N. Rezitis, Gregor Kastner
Publikováno v:
The Australian Journal of Agricultural and Resource Economics
The present study investigates the price (co)volatility of four dairy commodities-skim milk powder, whole milk powder, butter, and cheddar cheese-in three major dairy markets. It uses a multivariate factor stochastic volatility model for estimating t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::79fb26bbbc61e1624fab308a9875ea66
https://research.wu.ac.at/de/publications/a42f0909-0e7d-48ce-b687-b38826625499
https://research.wu.ac.at/de/publications/a42f0909-0e7d-48ce-b687-b38826625499
Autor:
Florian Huber, Gregor Kastner
Publikováno v:
Journal of Forecasting. 39:1142-1165
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First, we assume
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9153e086c6f6547a5388d6d09cb3f6fc
https://doi.org/10.1002/for.2680
https://doi.org/10.1002/for.2680
Autor:
Darjus Hosszejni, Gregor Kastner
Publikováno v:
Journal of Statistical Software; Vol. 100 (2021); 1-34
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3003f19373aa4678cfa78d0cc776d1be
https://www.jstatsoft.org/index.php/jss/article/view/v100i12
https://www.jstatsoft.org/index.php/jss/article/view/v100i12
Publikováno v:
German Economic Review. 20:447-470
In this paper, we investigate US monetary policy and its time-varying effects over more than 130 years. For that purpose, we use a Bayesian time-varying parameter vector autoregression that features modern shrinkage priors and stochastic volatility.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::59843a9456c0f4f6ba5669446938d5de
https://doi.org/10.1111/geer.12154
https://doi.org/10.1111/geer.12154
This paper proposes a Bayesian Logistic Smooth Transition Autoregressive (LSTAR) model with stochastic volatility (SV) to model inflation dynamics in a nonlinear fashion. Inflationary regimes are determined by smoothed money growth which serves as a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::15bd00cb4d49ff673a22efbf7ea4f8aa
https://research.wu.ac.at/de/publications/6bc2dd5b-c206-4062-822b-9b88c247a3b1
https://research.wu.ac.at/de/publications/6bc2dd5b-c206-4062-822b-9b88c247a3b1
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::d0860dd5daac1ee4906ccae375bd6a9b
https://research.wu.ac.at/de/publications/3f8a14a4-d6f0-4a6f-bfb2-46c9fddfef18
https://research.wu.ac.at/de/publications/3f8a14a4-d6f0-4a6f-bfb2-46c9fddfef18
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset into a lower
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_____10560::f30bf36bb21bfb2389fbde5d58c1570b
https://research.wu.ac.at/de/publications/51e753ee-bef7-49c8-b756-b87538f81836
https://research.wu.ac.at/de/publications/51e753ee-bef7-49c8-b756-b87538f81836
Autor:
Florian Huber, Clara De Luigi
Publikováno v:
Journal of Economic Dynamics and Control. 93:218-238
This paper develops a medium-scale non-linear model of the US economy. Our proposed model, a threshold vector autoregression with stochastic volatility, assumes that changes in government debt-to-GDP ratios drive the transition between regimes, captu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c635beaad6dc71e2c7c52d273f95e6ce
https://research.wu.ac.at/de/publications/59f63359-78ba-4168-831d-b992861fc206
https://research.wu.ac.at/de/publications/59f63359-78ba-4168-831d-b992861fc206
Autor:
Florian Huber, Manfred M. Fischer
Publikováno v:
Oxford Bulletin of Economics and Statistics. 80:575-604
This paper develops a multivariate regime switching monetary policy model for the US economy. To exploit a large dataset we use a factor-augmented VAR with discrete regime shifts, capturing distinct business cycle phases. The transition probabilities
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::699cf23e181e1aa2019e6ae0dcd7d1fc
https://doi.org/10.1111/obes.12227
https://doi.org/10.1111/obes.12227