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Katleho Makatjane and Ntebogang Moroke
During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alt...
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Stelios Bekiros and Christos Avdoulas
We examined the dynamic linkages among money market interest rates in the so-called ?BRICS? countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury ...
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Muhammad Zubair Mumtaz, Zachary Alexander Smith
Pág. 89 - 124
This study empirically examines the spillover effect from US monetary policy to nineteen European economies using Markov-switching models. The results of the univariate Markov-switching models validate the presence of two distinct regimes for both US mon...
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Pierre-Julien Trombe, Pierre Pinson and Henrik Madsen
Accurate wind power forecasts highly contribute to the integration of wind power into power systems. The focus of the present study is on large-scale offshore wind farms and the complexity of generating accurate probabilistic forecasts of wind power fluc...
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Thatphong Awirothananon; Wai-Kong (Adrian) Cheung
Pág. 1757 - 1788
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Rafael Machado Santana,Rodrigo De Losso da Silveira Bueno
Pág. 235 - 265
This paper evaluates empirically the volatility prediction and the informational content of the exchange rate variation. The comparison is built on two different models. The ?rst is a markov switching model on the conditional variance ? SWARCH (Hamilton,...
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