Browsing Department of Economics (ECO) by Title

Title: MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF- VAR) approaches to model speci cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious ...

Title: Migration, Savings and Uncertainty Author(s): DUSTMANN, Christian Date: 1992 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Minimum Quality Standard as an Environmental Policy: Domestic and International Effects Author(s): ICHINO, Andrea; THISSE, Jacques-Francois Date: 1999 Type of Publication: Contribution to book

Title: Missing Observations and Additive Outliers in Time Series Models Author(s): MARAVALL, Agustin; PENA, Daniel Date: 1992 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: The mixed blessing of IMF intervention: Signalling versus liquidity support Author(s): ZWART, Sanne Date: 2007 Type of Publication: Article Abstract: Although IMF support is supposed to benefit a country, it might be bad news that the IMF believes intervention is necessary. This paper analyzes a bank run model in which both the liquidity effect and the signalling effect ...

Title: A Mixture Multiplicative Error Model for Realized Volatility Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is intro- duced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar ...

Title: A Model for Ordinal Responses with an Application to Policy Interest Rate Author(s): SIRCHENKO, Andrei Date: 2012 Type of Publication: Working Paper Series/Report no.: Economics Education and Research Consortium (EERC) Working Papers Abstract: The decisions to reduce, leave unchanged, or increase (the price, rating, policy interest rate, etc.) are often characterized by abundant no-change outcomes that are generated by different processes. Moreover, the positive ...

Title: Model Selection for Nested and Overlapping Nonlinear Dynamic and Possibly Mis-specified Models Author(s): MARCELLINO, Massimiliano; ROSSI, Barbara Date: 2008 Type of Publication: Article

Title: Modeling and Forecasting Exchange-Rates With a Bayesian Time-Varying Coefficient Model Author(s): CANOVA, Fabio Date: 1993 Type of Publication: Article Abstract: This paper employs a multivariate Bayesian time-varying coefficients (TVC) approach to model and forecast exchange rate data. It is shown that, if used as a data-generating mechanism, a TVC model induces nonlinearities in ...

Title: Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model Author(s): LU, Yang K.; PERRON, Pierre Date: 2010 Type of Publication: Article Abstract: We consider the estimation of a random level shift model for which the series of interest is the sum of a short-memory process and a jump or level shift component. For the latter component, we specify the commonly used ...

Title: Modeling Conditional Skewness in Stock Returns Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modeling Expectations with Noncausal Autoregressions Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. We argue that noncausal autoregres- sive models are especially well suited for modeling ...

Title: Modelling Interactions Between State and Private Sector in a 'Previously' Centrally Planned Economy Author(s): VALBONESI, Paola Date: 1993 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modelling of Cointegration in the Vector Autoregressive Model Author(s): JOHANSEN, Soren Date: 2000 Type of Publication: Article Abstract: A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated ...

Title: Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland and the Uk Author(s): MARCELLINO, Massimiliano; MIZON, Grayham E. Date: 2000 Type of Publication: Article Abstract: The relationship between wages, prices, productivity, inflation and unemployment in Italy, Poland, and the UK between the 1960s and the early 1990s is modelled as a cointegrated vector autoregression subject to regime ...

Title: Modelling Structural Breaks, Long Memory and Stock Market Volatility: an Overview Author(s): BANERJEE, Anindya; URGA, Giovanni Date: 2005 Type of Publication: Article

Title: Modelling Vintage Structures with DDEs: Principles and Applications Author(s): BOUCEKKINE, Raouf; DE LA CROIX, David; LICANDRO, Omar Date: 2004 Type of Publication: Working Paper Series/Report no.: EUI ECO

Title: Modelling Vintage Structures with DDEs: Principles and Applications Author(s): LICANDRO, Omar; BOUCEKKINE, Raouf; DE LA CROIX, David Date: 2004 Type of Publication: Article

Title: Models for Dynamic Macroeconomics Author(s): BERTOLA, Giuseppe; BAGLIANO, Fabio Date: 2004 Type of Publication: Book

Title: Models of the labor market with diffusion processes Author(s): PRAT, Julien Date: 2004 Type of Publication: Thesis Series/Report no.: EUI PhD theses

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