international econometric journal
in Russian language
Tsyplakov, Alexander. Introduction to prediction in classical time series
models
This essay
discusses basic notions of time series prediction and states traditional
approaches to prediction in classical Box–Jenkins models, vector
autoregressions, and autoregressive models with conditional heteroskedasticity.
Cochrane, John. Prediction and impulse responses in linear systems
Prediction
is interesting for a variety of reasons. It is one of the few rationalizations
for time-series to be a subject of its own, divorced from economics.
Atheoretical forecasts of time series are often useful. The pattern of
forecasts is also, like the autocorrelation function, an interesting
characterization of the behavior of a time series.
Söderlind, Paul. Prediction of stock returns
This
essay describes the basics of the stock market analysis, gives a survey of
simple methods of searching for predictive patterns in returns, as well as
lists empirical evidence of such predictability.
Anatolyev, Stanislav. Testing for predictability
This
essay contains a short survey of existing simple tests for predictability of
various characteristics of stationary time series.
Itskhoki, Oleg. Model selection and paradoxes of prediction
In
this essay we postulate a number of theoretical hypotheses allowing one to
resolve in some degree the following two prediction paradoxes: (1) why simple
linear models often have an advantage in predictive power over more complex
nonlinear models that lead to a better in-sample fit; (2) why combinations of
forecasts often increase the predictive power of individual forecasts. We also
give a numerical example illustrating our theoretical statements.
McCracken,
Michael. Pairwise tests of equal forecast accuracy
This
essay re
Zinde-Walsh, Victoria. UK Econometric Study Group annual meeting
This
report contains impressions of a participant of the UK Econometric Study Group
meeting held on July 13–15,
Siliverstovs, Boriss. Modelling demand for money in Latvia
This
study develops an error correction model for money demand in
Arzhenovsky, Sergey. Socioeconomic determinants of smoking in Russia
We
study factors impacting the initiation and termination of smoking as well as
its “heaviness” on the basis of RLMS data. An asymmetric influence of cigarette
prices is revealed, and an addictive character of tobacco consumption is
confirmed. We find that it is possible to reduce smoking by popularization of a
healthy lifestyle.
Belousov, Sergey. Volatility modelling with jumps: application to Russian
and American stock markets
It is well known that
stock returns exhibit conditional heteroskedasticity, and their distribution
displays leptokurtosis. Moreover, modern financial markets are characterized by
large discrete changes in asset returns. One of the most popular models
describing this behavior is the GARCH–J(ump) model, where the arrival of jumps
is governed by a Poisson distribution. In this paper we propose a new
specification called GARCH–TJI, where the jump intensity depends on the
absolute lagged return and whether it exceeds some threshold. The comparative
analysis demonstrates a higher effectiveness of the GARCH–TJI model than of the
GARCH–ARJI specification described in the literature.