Download or read book Four Essays on Markov Switching DSGE and Markov Switching VAR Models written by Boris Blagov and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Four Essays on Markov Switching DSGE and Markow Switching VAR Models written by Boris Blagov and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Markov Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.

Download or read book Essays on Applications of Markov Regime Switching and Time Varying Volatility Models in Finance and Macroeconomics written by and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Estimating a Markov Switching DSGE Model with Macroeconomic Policy Interaction written by Nobuhiro Abe and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Application of the Markov Switching Multifractal Model written by Waleem Babatunde Alausa and published by . This book was released on 2014 with total page 237 pages. Available in PDF, EPUB and Kindle. Book excerpt: The overall purpose of this thesis is to extend and apply the Markov Switching Multifractal (MSM) model to various economic problems. To this extent, Chapter 1 lays the ground work for the next chapters by reviewing the MSM model, discussing its properties and outlining its estimation procedures. The chapter also reviews the distributional properties of several commodity markets that make them amenable to the MSM model. Chapter 2 extends the MSM model by incorporating a vector error correction component, which includes in the conditional mean equation, the cointegrating relationship between spot and futures prices. The VECM-MSM model has two distinctive features that incorporate the empirical properties of asset prices. First, it includes an error correction mechanism in the mean equation that incorporates the long-run relationship between spot and futures prices. Second, the model specifies the conditional second moments as a bivariate Markov Switching Multifractal (MSM) model. The VECM-MSM model is applied to study the problem of risk hedging in the futures market. The hedging effectiveness of the proposed VECM-MSM model is evaluated, using a value-at-risk (VaR) approach. Specifically, we compare the hedging effectiveness of the proposed model to those of alternative models by assessing their unconditional and conditional VaR coverages. Models are then ranked in terms of the adequacy and accuracy of their hedged portfolio VaR. The in-sample and out-of-sample hedge effectiveness shows that the VECM-MSM hedged portfolio outperforms alternative hedging strategies in terms of having the lowest rate of VaR violations among the different strategies. Statistical tests of unconditional and conditional coverages also show that the VECM-MSM model better predicts an investor's downside risk in that the VaR predictions are more accurate than the predictions from the alternative models. Chapter 3 of this thesis investigates the excess commodity comovement phenomenon, using the MSM model. One of the stylized facts of commodity prices is their tendency for comovement. The phenomenon implies that seemingly unrelated commodities tend to move together beyond what can be attributed to fundamentals, such as demand and supply conditions, exchange rates, interest rates, industrial production etc. Excess commodity comovement bears significant welfare and risk management implications. For an instance, a synchronous rise in prices of commodities exerts significant inflationary pressure on commodity import dependent countries, and limits their ability to maintain economic stability and resist inflationary pressures. Moreover, to the extent that comovement measures, such as correlation and covariance among commodities, comprise an essential ingredient in risk assessment, pricing, portfolio management and hedging, failure to account for such excess comovement can lead to sub-optimal economic decisions. Therefore within the debate on excess commodity comovement, the objective of this chapter is twofold. First, it analyzes the degree of excess commodity comovement across a variety of commodities. Second, it analyzes the frequency-dependent nature of comovement across related (e.g. crude and heating oil) and unrelated commodities (e.g. copper and corn). First, we find that there is significant comovement between commodity prices, beyond what can simply be explained by macroeconomic fundamentals. Second, decomposing comovements into multiple frequencies, we find that all commodities exhibit long-run excess comovements which are driven by low frequency fundamentals such as weather, demographic and macroeconomic factors. But some commodities also exhibit significant short-run excess comovements that may be attributable to short-run factors such as liquidity constraints, indexation, etc. Third, the dynamic correlations show that excess comovements are higher in periods of high volatility and vice-versa. The final chapter applies a new class of model, the Autoregressive Markov switching multifractal model, for forecasting spot electricity prices. Three variants of the model are examinedEmploying hourly prices from the AESO market, the parameters of the ARX-MSM models are estimated, and one-step-ahead hourly forecasts are obtained. To put the performance of the ARX-MSM models into perspective, the results are compared to those of other notable models used in the literature, namely the AR(1), ARX, ARX-GARCH, mean-reverting jump and the 2-state independent Markov regime switching models. Goodness-of-fit tests indicate that the ARX-MSM models fit the data significantly better than the competing models. Likewise, out-of-sample results show that the ARX-MSM models provide better forecast accuracy.

Download or read book Markov switching Mixed frequency VAR Models written by Claudia Foroni and published by . This book was released on 2014 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the MSMF-VAR model is applied to predict GDP growth and business cycle turning points in the euro area. Its performance is compared with that of a number of competing models, including linear and regime switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the status of economic activity.

Download or read book Perturbation Methods for Markov switching DSGE Models written by Andrew T. Foerster and published by . This book was released on 2013 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov-switching DSGE (MSDSGE) modeling has become a growing body of literature on economic and policy issues related to structural shifts. This paper develops a general perturbation methodology for constructing high-order approximations to the solutions of MSDSGE models. Our new method, called "the partition perturbation method,'' partitions the Markov-switching parameter space to keep a maximum number of time-varying parameters from perturbation. For this method to work in practice, we show how to reduce the potentially intractable problem of solving MSDSGE models to the manageable problem of solving a system of quadratic polynomial equations. We propose to use the theory of Gröbner bases for solving such a quadratic system. This approach allows us to first obtain all the solutions and then determine how many of them are stable. We illustrate the tractability of our methodology through two examples.

Download or read book Essays in Honour of Fabio Canova written by Juan J. Dolado and published by Emerald Group Publishing. This book was released on 2022-09-21 with total page 188 pages. Available in PDF, EPUB and Kindle. Book excerpt: Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.

Download or read book Var Models in Macroeconomics New Developments and Applications written by Thomas B. Fomby and published by Emerald Group Publishing Limited. This book was released on 2013-12-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Econometrics publishes original scholarly econometric papers with the intention of expanding the use of developed and emerging econometric techniques by disseminating ideas on the theory and practice of econometrics, throughout the empirical economic, business and social science literature.

Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Newnes. This book was released on 2013-08-23 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics

Download or read book Macroeconometric Models for Portfolio Management written by Jeremy Kwok and published by Vernon Press. This book was released on 2021-09-07 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: ‘Macroeconometric Models for Portfolio Management’ begins by outlining a portfolio management framework into which macroeconometric models and backtesting investment strategies are integrated. It is followed by a discussion on the theoretical backgrounds of both small and global large macroeconometric models, including data selection, estimation, and applications. Other practical concerns essential to managing a portfolio with decisions driven by macro models are also covered: model validation, forecast combination, and evaluation. The author then focuses on applying these models and their results on managing the portfolio, including making trading rules and asset allocation across different assets and risk management. The book finishes by showing portfolio examples where different investment strategies are used and illustrate how the framework can be applied from the beginning of collecting data, model estimation, and generating forecasts to how to manage portfolios accordingly. This book aims to bridge the gap between academia and practising professionals. Readers will attain a rigorous understanding of the theory and how to apply these models to their portfolios. Therefore, ‘Macroeconometric Models for Portfolio Management’ will be of interest to academics and scholars working in macroeconomics and finance; to industry professionals working in financial economics and asset management; to asset managers and investors who prefer systematic investing over discretionary investing; and to investors who have a strong interest in macroeconomic influences on their portfolio.

Download or read book Structural Vector Autoregressive Analysis written by Lutz Kilian and published by Cambridge University Press. This book was released on 2017-11-23 with total page 757 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the econometric foundations of structural vector autoregressive modeling, as used in empirical macroeconomics, finance, and related fields.

Download or read book Structural Econometric Models written by Eugene Choo and published by Emerald Group Publishing. This book was released on 2013-12-18 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume focuses on recent developments in the use of structural econometric models in empirical economics. The first part looks at recent developments in the estimation of dynamic discrete choice models. The second part looks at recent advances in the area empirical matching models.

Download or read book Dissertation Abstracts International written by and published by . This book was released on 2008 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Oxford Handbook of Economic Forecasting written by Michael P. Clements and published by OUP USA. This book was released on 2011-07-08 with total page 732 pages. Available in PDF, EPUB and Kindle. Book excerpt: Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

Download or read book Discrete Time Markov Jump Linear Systems written by O.L.V. Costa and published by Springer Science & Business Media. This book was released on 2006-03-30 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time