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Browsing by Subject "Econometric models"

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Flexible exchange rates and the J-curve : an alternative approach

Demirden, Tuvana ; Pastine, Ivan (Elsevier Science, 1995-06)

Estimates of the J-curve that do not explicitly account for feedback effects may give misleading results. In the absence of a structural model, a VAR approach is recommended to solve this problem.
HERMIN Ireland

Whelan, Karl ; Bradley, John ; Wright, Jonathan (Elsevier Science, 1995-07)

We describe the design, construction, estimation and testing of the Irish HERMIN model. The specific selection of model features from the general HERMIN outline is related to the structure of the Irish economy. The standard ...
Report of advisory panel on the use of fixed effects methods in area cost adjustment

Denny, Kevin ; Preston, I. (Department of Environment, Transport and the Regions, 1998-07)
Varying the VaR for unconditional and conditional environments

Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2004)

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and ...
Varying the VaR for unconditional and conditional environments

Cotter, John (Elsevier Science, 2007-12)

Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional ...