Zobrazeno 1 - 10
of 81
pro vyhledávání: '"Eric Zivot"'
Publikováno v:
Conceptual Econometrics Using R, 193-242
STARTPAGE=193;ENDPAGE=242;TITLE=Conceptual Econometrics Using R
Boudt, K, Galanos, A, Payseur, S & Zivot, E 2019, Multivariate GARCH models for large-scale applications : A survey . in H D Vinod & C R Rao (eds), Conceptual Econometrics Using R . Handbook of Statistics, vol. 41, Elsevier Science B.V., pp. 193-242 . https://doi.org/10.1016/bs.host.2019.01.001
STARTPAGE=193;ENDPAGE=242;TITLE=Conceptual Econometrics Using R
Boudt, K, Galanos, A, Payseur, S & Zivot, E 2019, Multivariate GARCH models for large-scale applications : A survey . in H D Vinod & C R Rao (eds), Conceptual Econometrics Using R . Handbook of Statistics, vol. 41, Elsevier Science B.V., pp. 193-242 . https://doi.org/10.1016/bs.host.2019.01.001
This chapter provides a survey of various multivariate GARCH specifications that model the temporal dependence in the second moment of multivariate return series processes. The survey is focused on feasible multivariate GARCH models for large-scale a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7564cbd62a8cbaef9eb74be019e2a4c0
https://hdl.handle.net/20.500.14017/9658c788-5cd2-488b-9b1f-64146cb771d3
https://hdl.handle.net/20.500.14017/9658c788-5cd2-488b-9b1f-64146cb771d3
Publikováno v:
Journal of Econometrics. 183:117-134
This paper shows that for five small commodity-exporting countries that have adopted inflation targeting monetary policies, world commodity price aggregates have predictive power for their CPI and PPI inflation, particularly once possible structural
Autor:
Peter Fuleky, Eric Zivot
Publikováno v:
The Econometrics Journal. 17:383-393
The Efficient Method of Moments (EMM) estimator popularized by Gallant and Tauchen (1996) is an indirect inference estimator based on the simulated auxiliary score evaluated at the sample estimate of the auxiliary parameters. We study an alternative
Autor:
Nina Sidneva, Eric Zivot
Publikováno v:
Natural Resource Modeling. 27:311-337
The nature of this paper is a practical application of a proper time-series methodology to evaluate policy impacts when there is uncertainty about the data being difference-stationary (DS) or trend-stationary (TS). We use this methodology to examine
Publikováno v:
International Journal of Forecasting. 28:366-383
We use realized volatilities based on after-hours high frequency stock returns to predict next day stock volatility. We extend the GARCH model to include additional information: the whole after hours period, the preopen realized variance, the postclo
Autor:
Wei-Choun Yu, Eric Zivot
Publikováno v:
International Journal of Forecasting. 27:579-591
We extend Diebold and Li’s dynamic Nelson-Siegel three-factor model to a broader empirical prospective by including the evaluation of the state space approach and by using nine different ratings for corporate bonds. We find that the dynamic Nelson-
Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis
Publikováno v:
Journal of Empirical Finance. 17:957-966
It is a well-accepted empirical result that forward exchange rate unbiasedness is rejected in tests using the “differences regression” of the change in the logarithm of the spot exchange rate on the forward discount. We model the forward discount
Publikováno v:
Econometric Theory. 26:1820-1837
In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares–based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. T
Publikováno v:
Koopman, S J & Creal, D D 2010, ' Extracting a robust U.S. business cycle using a time-varying multivariate model-based bandpass filter ', Journal of Applied Econometrics, vol. 25, pp. 695-719 . https://doi.org/10.1002/jae.1185
Journal of Applied Econometrics, 25, 695-719. John Wiley and Sons Ltd
Journal of Applied Econometrics, 25, 695-719. John Wiley and Sons Ltd
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time
Autor:
David Belsley, Alessandra Amendola, Erricos John Kontoghiorghes, Herman K. van Dijk, Eric Zivot, Yasuhiro Omori
Publikováno v:
Computational Statistics & Data Analysis, 52(6), 2842-2845. Elsevier