Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Pär Stockhammar"'
Autor:
Paola Di Casola, Pär Stockhammar
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07d424f133a60e2e4524015abb563947
https://doi.org/10.2139/ssrn.4156196
https://doi.org/10.2139/ssrn.4156196
Publikováno v:
Economia Politica. 37:39-68
In this paper, we make use of Bayesian VAR (BVAR) models to conduct an out-of-sample forecasting exercise for CPIF inflation, the inflation target variable at the Riksbank in Sweden. The proposed BVAR models generally outperform simple benchmark mode
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6fdb720962d350a86bed2ea85bfc1e09
https://doi.org/10.1007/s40888-019-00161-9
https://doi.org/10.1007/s40888-019-00161-9
Autor:
Oskar Gustafsson, Pär Stockhammar
Publikováno v:
Communications in Statistics - Theory and Methods. 48:6155-6168
In this paper new filters for removing unspecified form of heteroscedasticity are proposed. The filters build on the assumption that the variance of a pre-whitened time series can be viewed as a la ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::62deb27fa1885e1975611986df8da8e7
https://doi.org/10.1080/03610926.2018.1528369
https://doi.org/10.1080/03610926.2018.1528369
Autor:
Ursel Baumann, Matthieu Darracq Paries, Thomas Westermann, Marianna Riggi, Elena Bobeica, Aidan Meyler, Benjamin Böninghausen, Friedrich Fritzer, Riccardo Trezzi, Jana Jonckheere, Dmitry Kulikov, Dilyana Popova, Sulev Pert, Maritta Paloviita, František Brázdik, Harri Pönkä, Mikkel Bess, Pierre-Antoine Robert, Alexander Al-Haschimi, Philipp Gmehling, Marta Banbura, Evangelos Charalampakis, Jan-Oliver Menz, Benny Hartwig, Joan Paredes, Ute Volz, Lovisa Reiche, Zacharias Bragoudakis, Marcel Tirpak, Evangelia Kasimati, Tomasz Łyziak, Alex Tagliabracci, Ewa Stanisławska, Andrejs Bessonovs, Nikolay I. Iskrev, Olegs Krasnopjorovs, Miroslav Gavura, Tomas Reichenbachas, Milan Damjanović, Roberta Colavecchio, Matjaz Maletic, Gabriele Galati, Danilo Leiva, Ide Kearney, Pär Stockhammar
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::726c2965857598be58f10895a4d7219c
https://doi.org/10.2139/ssrn.3928285
https://doi.org/10.2139/ssrn.3928285
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially updated b
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01cdc167d1f8b78caa0fcf34e7988de5
http://arxiv.org/abs/2004.10092
http://arxiv.org/abs/2004.10092
Autor:
Pär Österholm, Pär Stockhammar
Publikováno v:
Economia Politica. 35:403-431
In this paper, we investigate whether survey measures of inflation expectations in Sweden Granger cause Swedish CPI inflation. This is done by studying the precision of out-of-sample forecasts from Bayesian VAR models using a sample of quarterly data
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::44662970e3deb2eef32125a6e32f79c6
https://doi.org/10.1007/s40888-018-0111-9
https://doi.org/10.1007/s40888-018-0111-9
Autor:
Pär Stockhammar, Pär Österholm
Publikováno v:
Open Economies Review. 28:347-368
In this paper, we investigate the impact of US uncertainty shocks on GDP growth in nine small open economies: Australia, Canada, Denmark, Finland, Iceland, New Zealand, Norway, Sweden and the United Kingdom. We compare the impact of two types of shoc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4db512b6bc68923f5d68d5d243c16999
https://doi.org/10.1007/s11079-016-9424-x
https://doi.org/10.1007/s11079-016-9424-x
Publikováno v:
Journal of Policy Modeling. 38:242-255
Real housing prices in Sweden have roughly doubled the last 15 years. The rise in housing prices has coincided with a rise in household debt, sparking debate about both the presence of financial imbalances in the Swedish economy and the macroeconomic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d084f9cff5526c27eeb9adc38c62158f
https://doi.org/10.1016/j.jpolmod.2016.02.011
https://doi.org/10.1016/j.jpolmod.2016.02.011
Autor:
Pär Stockhammar, Mahmood Ul Hassan
The growth rate of the gross domestic product (GDP) usually carries heteroscedasticity, asymmetry and fat-tails. In this study three important and significantly heteroscedastic GDP series are examined. A Normal, normal-mixture, normal-asymmetric Lapl
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7cf2170836a47f7451ef9d00d97e4dd6
Autor:
Pär Stockhammar, Lars-Erik Öller
Publikováno v:
Communications in Statistics - Theory and Methods. 41:281-299
In this article, variance stabilizing filters are discussed. A new filter with nice properties is proposed which makes use of moving averages and moving standard deviations, the latter smoothed with the Hodrick-Prescott filter. This filter is compare
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::36b19f1634f54af8b6416662bd9a5d5d
https://doi.org/10.1080/03610926.2010.521289
https://doi.org/10.1080/03610926.2010.521289