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Displaying results 1 to 4 of 4.

  1. Real-time forecast of DSGE models with time-varying volatility in GARCH form
    Author: Ivashchenko, Sergey; Ҫekin, Semih Emre; Gupta, Rangan
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
    Inter-library loan:
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11159/7080
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 04 (January 2022)
    Subjects: DSGE; forecasting; GARCH; stochastic volatility; conditional correlations
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  2. Near-rational expectations
    how far are surveys from rationality?
    Author: Ivashchenko, Sergey; Gupta, Rangan
    Published: [2017]
    Publisher:  EERI, Economics and Econometrics Research Institute, Brussels, Belgium

    New simple forms of deviation from rational expectations (RE) are suggested: temporary near-rational expectations (TNRE) and persistent near-rational expectations (PNRE). The medium-scale DSGE model was estimated with the RE, the TNRE and the PNRE.... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 545 (2017,4)
    Inter-library loan:
    No inter-library loan

     

    New simple forms of deviation from rational expectations (RE) are suggested: temporary near-rational expectations (TNRE) and persistent near-rational expectations (PNRE). The medium-scale DSGE model was estimated with the RE, the TNRE and the PNRE. It was estimated with and without observations from the survey's expectations. The quality of the out-of-sample forecasts was estimated. It is shown that near-rational concepts produce the same advantages as learning, without its disadvantages (including the absence of ‘learning expectations’ reactions on policy change). The influence of the observed expectations on forecasting quality was analysed.

     
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    Volltext (kostenfrei)
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/179405
    Series: EERI research paper series ; no 2017, 04
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  3. Estimation and filtering of nonlinear MS-DSGE models
    Author: Ivashchenko, Sergey
    Published: 2016
    Publisher:  National Research University, Higher School of Economic, [Moscow]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; 136/EC/2016
    Subjects: Markov-Kette; DSGE-Modell; Zustandsraummodell
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  4. Switching volatility in a nonlinear open economy
    Author: Benchimo, Jonathan; Ivashchenko, Sergey
    Published: [2020]
    Publisher:  Research Department, Bank of Israel, Jerusalem, Israel

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    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 875
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / Bank of Israel Research Department ; 2020, 04 (May 2020)
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen