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Displaying results 1 to 8 of 8.

  1. Data outliers and Bayesian VARs in the Euro area
    Author: Álvarez, Luis J.; Odendahl, Florens
    Published: 2022
    Publisher:  Banco de España, Madrid

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 470
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 2239
    Subjects: COVID-19 pandemic; outliers; Bayesian VARs; forecasting; euro area
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. Stationarity of heterogeneity in production technology using latent class modelling
    Author: Agrell, Per J.; Brea-Solís, Humberto
    Published: November 2015
    Publisher:  Centre for Operations Research and Econometrics, Louvain-la-Neuve

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 203 (2015,47)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 2078.1/166436
    Series: CORE discussion paper ; 2015, 47
    Subjects: Frontier analysis; latent class models; SFA; DEA; outliers; regulation
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  3. Addressing COVID-19 outliers in BVARs with stochastic volatility
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano; Mertens, Elmar
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data than standard VARs. Predictive Bayes factors indicate that our outlier-augmented SV model provides the best data fit for the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier-augmented SV schemes fare at least as well as a conventional SV model.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957298812
    Other identifier:
    hdl: 10419/253393
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 13
    Subjects: Bayesian VARs; stochastic volatility; outliers; pandemics; forecasts
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  4. Outliers and momentum in the corporate bond market
    Author: Galvani, Valentina; Li, Lifang
    Published: March 2022
    Publisher:  University of Alberta, Faculty of Arts, Department of Economics, [Edmonton, Alberta]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 566
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / University of Alberta, Faculty of Arts, Department of Economics ; no. 2022, 03
    Subjects: momentum; outliers; winsorization; corporate bonds; TRACE
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  5. Robust Bayesian exponentially tilted empirical likelihood method
    Author: Liu, Zhichao; Forbes, Catherine Scipione; Anderson, Heather M.
    Published: December 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 21
    Subjects: Moment condition models; outliers; misspecification
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  6. Addressing COVID-19 Outliers in BVARs with stochastic volatility
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano; Mertens, Elmar
    Published: 2021
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 36
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Cleveland ; 21, 02 (February 2021)
    Subjects: Bayesian VARs; stochastic volatility; outliers; pandemics; forecasts
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  7. Monetary policy across inflation regimes
    Author: Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina
    Published: [2024]
    Publisher:  Federal Reserve Bank of New York, [New York, NY]

    Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy... more

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    DS 207
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    Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy are markedly different when year-over-year inflation exceeds 5.5 percent. Below this threshold, changes in monetary policy have a short-lived effect on prices, but no effect on the unemployment rate, giving a potential explanation for the recent "soft landing" in the United States. Above this threshold, the effects of monetary policy surprises on both inflation and unemployment can be larger and longer lasting.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284043
    Series: Staff reports / Federal Reserve Bank of New York ; no. 1083 (January 2024)
    Subjects: monetary policy shocks; inflation; regime-dependence; outliers; nonlinear time series models
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  8. The effects of the pandemic on households’ financial savings
    a Bayesian structural VAR analysis
    Author: Infante, Luigi; Lilla, Francesca; Vercelli, Francesco
    Published: [2023]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Temi di discussione / Banca d'Italia ; number 1421 (October 2023)
    Subjects: households’ financial savings; COVID-19; outliers; time-varying VAR
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen