time-varying
Analysis of time varying parameter models
... The convergence stated in the above assumptions should be uniform for 0 in 0. With the time varying parameter model we have assumed that ß is known, thus the conditions (i) and (ii) may be omitted. While it ...
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A time varying DSGE model with financial frictions
... a time varying DSGE model with …nancial ...over time, but the volatility of the …nancial shock jumps in the period 2007-2012 and returns to the pre-crisis values after ...over time, we observe ...
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Implied Volatility with Time Varying Regime Probabilities
... The regime probability varies in time according to a regime indicator. We reason that when modeling implied volatility, the returns of the options’ underlying asset would work well as an indicator: a large change ...
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Large time varying parameter VARs
... with time-varying parameter VARs (TVP- VARs) where the VAR coefficients evolve over time and multivariate stochastic volatility is present (see, among many others, Cogley and Sargent, 2005, Cogley, ...
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Time Varying Fiscal Multipliers in Germany
... the time varying impact of government spending shocks on output in Germany over the years 1970 to ...with time varying parameters (TVP-VAR) to show that fiscal multipliers are not stable over ...
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Desynchronization induced by time varying network
... a time-varying network, and resort to its static, averaged ...the time-varying setting, by properly modu- lating ǫ below a critical ...a time-varying net- work, for a sufficiently ...
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Is Quintessence an Indication of a Time Varying Gravitational Constant?
... Quintessence is a hypothetical form of dark energy based on a dynamical scalar field whose value changes with respect to cosmological time. Its equation of state relates the pressure of the vacuum to its density, ...
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Testing explosive bubbles with time varying volatility
... Calculation of the WLS-based test statistic requires the volatility at each point in time, which is of course unknown in practice. To render the statistic feasible, we employ a nonparametric kernel-based ...
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Time Varying Exchange Rate Risk Premium
... We characterize the exchange rate risk premium on the context of a small open economy with controlled floating exchange rate regime. The data set includes 100 observations on case of Vietnam over 01/2011-04/2019. The ...
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Random walks and search in time-varying networks
... in time varying networks the number of walkers is not a linear function of the activity, but saturates at large values of ...each time step, and therefore a limited capacity for col- lecting ...from ...
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Time varying dimension models
... Abstract: Time varying parameter (TVP) models have enjoyed an in- creasing popularity in empirical ...several Time Varying dimension (TVD) models where the dimension of the model can change ...
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Time varying Business Cycles Synchronisation in Europe
... the time varying business cycle synchronisation, captured by both the scalar-BEKK and the multivariate Riskmetrics models is the immediate, large and reasonably consistent move to a greater level of ...
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Expectation Driven Cycles: Time varying Effects
... over time, such as structural changes in the economy and improved monetary policy (Stock and Watson (2010)), a flattening of the slope of the Phillips curve and downward wage rigidity (Ball and Mazumder (2011)), ...
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Hierarchical shrinkage in time varying parameter models
... over time and to shed light on why the MLPL results conflict with the MAFE and MSFE results in Table 5, we present Fig- ures 1 and ...and time-varying coefficients with h = 12 (but similar patterns ...
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A Time Varying Expectations Formation Mechanism
... expectations are based on inflation is natural and common in the literature (see, e.g., Evans and Honkapohja, 2001). We insert the long-run expected inflation in the EFM because short-run expectations could be(come) ...
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Contagion dynamics in time-varying metapopulation networks
... the time varying ...into time varying metapopulation pro- cesses, but clearly point out that dynamical couplings af- fect spreading phenomena also in reaction-diffusion pro- cesses, and that ...
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Time varying ratings for international football teams
... Baker and McHale (2014) present a method to estimate the time-varying strengths in equation 2. Their approach is to use barycentric rational interpolation to interpolate between strengths estimated at nodes ...
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Time varying liquidity and profitability of hedge funds
... the time-varying liquidity of hedge fund returns by analyzing the time-varying nature of autocorrelation in hedge fund ...a time series dimension to the cross-sectional focus of ...have ...
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Hierarchical Shrinkage in Time-varying Parameter Models
... a time-varying parameter (TVP) regression model to model parameter ...Adding time variation in parameters may exacerbate this problem, suggesting that shrinkage may be useful with TVP ...
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Time Varying Quantile Lasso
... over time and therefore the fitting is performed with the use of moving ...investigating time series of λ and its dependency on model characteristics was brought into focus by H¨ ardle et ...
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