By Kaddour Hadri, William Mikhail
The quantity goals at supplying an outlet for the very best papers provided on the fifteenth Annual convention of the African Econometric Society, that's one of many "chapters" of the foreign Econometric Society. lots of those papers signify the state-of-the-art in monetary econometrics and utilized econometric modeling, and a few additionally offer beneficial simulations that make clear the types' skill to generate significant eventualities for forecasting and coverage research.
Readership: Graduate scholars and researchers within the fields of econometrics, fiscal concept, utilized econometrics.
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Additional info for Econometric Methods and Their Applications in Finance, Macro and Related Fields
We found that the time-varying eﬀects in the conditional SJC copula are signiﬁcant. Also signiﬁcant is the asymmetry in the tail dependences implied by the copula. From the ﬁtted tail dependence coeﬃcients, we found that the evolution of the conditional tail dependencies noticeably coincide with that of the interest rates themselves. A similar correlation was also found for the conditional linear correlation coeﬃcients implied by the conditional copula. b1595-ch01 December 17, 2013 5:55 9in x 6in Econometric Methods and Their Applications .
Proof of (14) Based on the transition pdf in Eq. (13) and the deﬁnition of Iq (·), we have E[rtm |rt−∆ ] ∞ = 0 rtm 1 rt1−2γ −u−v v ce 2 |1 − γ| u m m × p=0 0 ∞ m = [2|1 − γ|] 1−γ c− 2(1−γ) ∞ ∞ m = [2|1 − γ|] 1−γ c− 2(1−γ) 0 q/2 Iq [2(uv)1/2 ]drt v u m v 2(1−γ) e−u−v q/2 Iq [2(uv)1/2 ]dv m e−u−v v q/2+ 2(1−γ) u−q/2 (uv)q/2 (uv)p dv Γ(p + 1)Γ(p + 1 + q) 6 See A¨ ıt-Sahalia (1996b) for the deﬁnitions of the speed and scale densities, the speed and scale measures and the conditions for stationarity for a general diﬀusion process.
Examples include Diebold et al. (2006, 2008), Christensen et al. (2009, 2011), Hautsch and Ou (2008), and Koopman et al. (2010). The Diebold and Li (2006) is referred to in the literature as the dynamic Nelson–Siegel (DNS) model. These newly-introduced models can be classiﬁed as either independent-factors or correlated-factor models. 1 This assumption is important for model tractability, but may not be empirically plausible. The objective of this chapter is to extend the DNS correlated-factors model by allowing for a time-varying dependence structure among the factors.