Browsing Working Papers by Subject "C13"

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Browsing Working Papers by Subject "C13"

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    Title: Common Drifting Volatility in Large Bayesian VARs  Author(s): CARRIERO, Andrea; CLARK, Todd E.; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally very demanding. In this paper we propose to model conditional volatilities as driven by a single common ...
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    Title: Common Factors in Nonstationary Panel Data with a Deterministic Trend – Estimation and Distribution Theory  Author(s): MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper studies large-dimension factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one. We follow the model specification of Bai (2004) and derive the ...
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    Title: Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models  Author(s): CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, Massimiliano Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
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    Title: Parameter Estimation in Nonlinear AR-GARCH Models  Author(s): MEITZ, Mika; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a functional coe cient autoregression of order p (AR(p)) with the conditional ...
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    Title: Indirect Estimation of Elliptical Stable Distributions  Author(s): LOMBARDI, Marco J.; VEREDAS, David Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate Student-t distribution as auxiliary model. This distribution is also elliptical and we show that ...
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    Title: How to Attain Minimax Risk with Applications to Distribution-Free Nonparametric Estimation and Testing  Author(s): SCHLAG, Karl H. Date: 2007 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We show how to a derive exact distribution-free nonparametric results for minimax risk when underlying random variables have known finite bounds and means are the only parameters of interest. Transform the data with a ...