Estimation of the global regularity of a multifractional Brownian motion,
Joachim Lebovits and Mark Podolskij,
from Department of Economics and Business Economics, Aarhus University
(2016)
Keywords: consistency, Hurst parameter, multifractional Brownian motion, power variation
Variance targeting estimation of the BEKK-X model,
Le Quyen Thieu,
from University Library of Munich, Germany
(2016)
Keywords: BEKK model augmented with exogenous variables, BEKK-X model, Variance targeting estimation (VTE)
Forecasting the equity risk premium with frequency-decomposed predictors,
Gonçalo Faria and Fabio Verona,
from Católica Porto Business School, Universidade Católica Portuguesa
(2016)
Keywords: predictability, equity risk premium, frequency domain, discrete wavelets
IV and GMM Estimation and Testing of Multivariate Stochastic Unit Root Models,
Offer Lieberman and Peter Phillips,
from Cowles Foundation for Research in Economics, Yale University
(2016)
Keywords: Autoregression, Diffusion; Similarity, Stochastic unit root, Time-varying coefficients
Equation by equation estimation of the semi-diagonal BEKK model with covariates,
Le Quyen Thieu,
from University Library of Munich, Germany
(2016)
Keywords: BEKK-X, Equation by equation estimation, exogenous variables, covariates, semi-diagonal BEKK-X
Testing for Symmetry in Weakly Dependent Time Series,
Luke Hartigan,
from School of Economics, The University of New South Wales
(2016)
Keywords: Symmetry; Weak dependence; Hypothesis testing; Monte Carlo simulation; Business cycle asymmetry
When is Nonfundamentalness in SVARs A Real Problem?,
Paul Beaudry, Patrick Fève, Alain Guay and Franck Portier,
from Toulouse School of Economics (TSE)
(2016)
Keywords: Non-Fundamentalness; Business Cycles; SVARs; News
Adaptive models and heavy tails with an application to inflation forecasting,
Davide Delle Monache and Ivan Petrella,
from Birkbeck Centre for Applied Macroeconomics
(2016)
Keywords: adaptive algorithms, inflation, score-driven models, student-t, time-varying parameters.