Browsing Department of Economics (ECO) by Subject "C51"

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Browsing Department of Economics (ECO) by Subject "C51"

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    Title: The Multiscale Causal Dynamics of Foreign Exchange Markets  Author(s): BEKIROS, Stelios D.; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper relies on wavelet multiresolution analysis to capture the dependence structure of currency markets and reveal the complex dynamics across different timescales. It investigates the nature and direction of causal ...
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    Title: Nonlinear Causality Testing with Stepwise Multivariate Filtering  Author(s): BEKIROS, Stelios D. Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This study explores the direction and nature of causal linkages among six currencies denoted relative to United States dollar (USD), namely Euro (EUR), Great Britain Pound (GBP), Japanese Yen (JPY), Swiss Frank (CHF), ...
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    Title: Nested Models and Model Uncertainty  Author(s): KRIWOLUZKY, Alexander; STOLTENBERG, Christian A. Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
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    Title: Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models  Author(s): KRIWOLUZKY, Alexander Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...
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    Title: Matching Theory and Data: Bayesian Vector Autoregression and Dynamic Stochastic General Equilibrium Models  Author(s): KRIWOLUZKY, Alexander Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: This paper shows how to identify the structural shocks of a Vector Autoregression (VAR) while simultaneously estimating a dynamic stochastic general equilibrium (DSGE) model that is not assumed to replicate the data-generating ...
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    Title: Nested Models and Model Uncertainty  Author(s): KRIWOLUZKY, Alexander; STOLTENBERG, Christian A. Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: Uncertainty about the appropriate choice among nested models is a central concern for optimal policy when policy prescriptions from those models differ. The standard procedure is to specify a prior over the parameter space ...
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    Title: Semiparametric Methods for the Measurement of Latent Attitudes and the Estimation of Their Behavioural Consequences  Author(s): SPADY, Richard Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We model attitudes as latent variables that induce stochastic dominance relations in (item) responses. Observable characteristics that affect attitudes can be incorporated into the analysis to improve the measurement of ...