1,721,033 research outputs found
A Conversation with Katarina Juselius
Full text linkThis article was prepared for the Special Issue ‘Celebrated Econometricians: Katarina Juselius and Søren Johansen’ of Econometrics. It is based on material recorded on 30–31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues: equilibrium; short and long-run behaviour; common trends; adjustment; integral and proportional control mechanisms; model building and model comparison; breaks, crisis, learning; univariate versus multivariate modelling; mentoring and the gender gap in Econometrics
GARCH density and functional forecasts
No full textThis paper derives the analytic form of the multi-step ahead prediction density of a Gaussian GARCH(1,1) process with a possibly asymmetric news impact curve in the GJR class. These results can be applied when single-period returns are modeled as a GJR Gaussian GARCH(1,1) and interest lies in single-period returns at some future forecast horizon. The Gaussian density has been used in applications as an approximation to this as yet unknown prediction density; the analytic form derived here shows that this prediction density, while symmetric, can be far from Gaussian. This explicit form can be used to compute exact tail probabilities and functionals, such as the Value at Risk and the Expected Shortfall, to quantify expected future required risk capital for single-period returns. Finally, the paper shows how estimation uncertainty can be mapped onto uncertainty regions for any functional of this prediction distribution
The correlation of geomagnetic reversals and mean sea level in the last 150 m.y
No full textThrough an appropriate statistical method the correlation between the rate of occurrence of geomagnetic reversals and the mean sea level according to the best available data is analyzed. A highly negative significant correlation (significance level < 0.01) is found only with long-term sea-level variations that follow by about 6-9 m.y. the non-stationarities in the rate of occurrence of geomagnetic reversals. This represents a link between crustal and deep interior Earth processes. © 1992
ON THE DETERMINANTS OF INFLATION IN ITALY
No full textQUADERNI DELLA FACOLTA' DI ECONOMIA DELL'UNIVERSITA' DELL'INSUBRI
Reply to the comment by S.R. Gaffin on 'The correlation of geomagnetic reversals and mean sea level in the last 150 m.y.' by W. Marzocchi et al
No full textA Conversation with Søren Johansen
Full text linkThis article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30 October 2018 in Copenhagen. It explores Søren Johansen’s research, and discusses inter alia the following issues: estimation and inference for nonstationary time series of the I(1), I(2) and fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and practice of Statistics and Econometrics
Celebrated Econometricians: Katarina Juselius and Søren Johansen
Full text linkThis Special Issue collects contributions related to the advances in the theory and practice of Econometrics induced by the research of Katarina Juselius and Søren Johansen, whom this Special Issue aims to celebrate [...
Stochastic simulation of models for expected asset returns based on neural networks: a parallel experience
No full textWe consider nonlinear models for expected asset returns, employing neural network architectures. These models can be interpreted in terms of financial common risk factors. We investigate competing inferential approaches through a simulation experiment, implemented in a parallel environment
Identification conditions in simultaneous systems of cointegrating equations with integrated variables of higher order
Full text linkExpectations and Perceived Causality in Fiscal Policy : An Experimental Analysis Using Real World Data
Full text linkWe generate observable expectations about fiscal variables through laboratory experiments using real world data from several European countries as stimuli. We estimate an econometric model of individual expectations for fiscal policy, which
nests various theories of expectations{forming and encompasses both micro- and macro-economic lines of research on fiscal policy. Agents' expectations are found neither to be consistent with rational nor with purely adaptive expectations. Expectations follow an augmented-adaptive scheme, which embodies the 'spend and tax hypothesis' on the relationship between taxes and expenditure to a greater extent than in real world data. We relate this findings to current research on the effects of fiscal policy. Methodological implications of the present approach for experiments in macroeconomics are also discussed
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