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Title:Forecasting inflation uncertainty in the G7 countries Author(s):SEGNON, Mawuli; BEKIROS, Stelios D.
; WILFLING, BerndDate:2018Citation:
- Econometrics, 2018, Vol. 6, No. 2, (23)
Type:ArticleAbstract:There is substantial evidence that inflation rates are characterized by long memory and nonlinearities. In this paper, we introduce a long-memory Smooth Transition AutoRegressive Fractionally Integrated Moving Average-Markov ...
; WILFLING, BerndDate:2018Citation:
Title:Essays in applied econometrics of high frequency financial data Author(s):ARCHAKOV, IlyaDate:2016Citation:
- Florence : European University Institute, 2016
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:In the first chapter, co-authored with Peter Hansen and Asger Lunde, we suggest a novel approach to modeling and measuring systematic risk in equity markets. We develop a new modeling framework that treats an asset return ...
Date:2016Citation:
Title:Empirical simultaneous prediction regions for path-forecasts Author(s):JORDÀ, Òscar; KNUEPPEL, Malte; MARCELLINO, MassimilianoDate:2013Citation:
- International journal of forecasting, 2013, Vol. 29, No. 3, pp. 456-468
Type:ArticleAbstract:This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future a path forecast. When the null model is only approximative, or completely unavailable, one ...
Date:2013Citation:
Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
Date:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
Title:An Estimated DSGE Model of a Small Open Economy within the Monetary Union: Forecasting and structural analysis Author(s):MARCELLINO, Massimiliano; RYCHALOVSKA, YuliyaDate:2012Type:Working PaperSeries/Number:EUI RSCAS; 2012/34; Pierre Werner Chair Programme on Monetary UnionAbstract:In this paper we lay out a two-region DSGE model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habit formation ...
; RYCHALOVSKA, YuliyaDate:2012Type:Working PaperSeries/Number:EUI RSCAS; 2012/34; Pierre Werner Chair Programme on Monetary UnionAbstract:In this paper we lay out a two-region DSGE model of an open economy within the European Monetary Union. The model, which is built in the New Keynesian tradition, contains real and nominal rigidities such as habit formation ...
Title:Vector autoregressive models Author(s):LUETKEPOHL, HelmutDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/30Abstract:Multivariate simultaneous equations models were used extensively for macroeconometric analysis when Sims (1980) advocated vector autoregressive (VAR) models as alternatives. At that time longer and more frequently observed ...
Title:Economic outlook for the Euro area in 2011 and 2012 Editor(s):MARCELLINO, MassimilianoDate:2011Type:Technical ReportSeries/Number:EFN Report; Autumn 2011Abstract:· High growth dynamics and demand coming from emerging markets will slow only modestly in the rest of 2011 and in 2012, but the intensification of the financial turmoil and the doubts about the ability of the European Union ...
Date:2011Type:Technical ReportSeries/Number:EFN Report; Autumn 2011Abstract:· High growth dynamics and demand coming from emerging markets will slow only modestly in the rest of 2011 and in 2012, but the intensification of the financial turmoil and the doubts about the ability of the European Union ...