1 - 6 of 6 articles
Abstract We extend the “bottom up” approach for forecasting economic aggregates with disaggregates to probability forecasting. Our methodology utilises a linear opinion pool to combine the forecast densities from many disaggregate forecasting specifications, using weights based on the continuous...
Abstract We study different implementations of the sparse portfolio construction and rebalancing method introduced by Brodie et al. (Brodie, J., I. Daubechies, C. De Mol, D. Giannone, and I. Loris. 2009. “Sparse and Stable Markowitz Portfolios.” PNAS 106 (30): 12267–12272). This technique is...
Abstract This paper extends Kim’s (Kim, C.-J. 2004. “Markov-Switching Models with Endogenous Explanatory Variables.” Journal of Econometrics 122: 127–136; Kim, C.-J. 2009. “Markov-Switching Models with Endogenous Explanatory Variables II: A Two-Step MLE Procedure.” Journal of Econometrics 148:...
Abstract This paper analyzes the relationship between commodity prices and consumer food prices in the euro area and in its largest countries (Germany, France and Italy) and tests whether the latter respond asymmetrically to shocks to the former. The issue is of particular interest for those...
Abstract We study how the round-off (or discretization) error changes the statistical properties of a Gaussian long memory process. We show that the autocovariance and the spectral density of the discretized process are asymptotically rescaled by a factor smaller than one, and we compute exactly...
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