international econometric journal
in Russian language
Kalnina, Ilze; Sizova, Natalia. Estimation of volatility measures using high frequency data
The
availability of high frequency intra-day observations has created a new
paradigm in volatility measurement. New methods in conjunction with
high-frequency data allow nonparametric estimation of daily volatility and its
forecast, variance-covariance matrices, instantaneous volatility and the jump
contribution to the total variance. We survey some methods of volatility
measurement including the recent literature on volatility estimation with
ultra-high-frequency data in the presence of the market microstructure noise.
We also discuss challenges specific to the estimation of the
variance-covariance matrices with asynchronous observations.
We
consider identification of the nonparametric simultaneous equation model with
the presence of sample selection. For the proposed model we introduce necessary
conditions for its identification if excluded variables for selection and
outcome equations are available. Our approach extends the well known class of nonparametric
two-step identification procedures for the case of non-triangular simultaneous
equations.
Poghosyan, Karen. Alternative models for forecasting the key
macroeconomic variables in Armenia
We
evaluate the forecasting performance of three competing models for short-term
macroeconomic forecasting: the
traditional unrestricted VAR, Bayesian VAR, and Factor Augmented VAR. Using
quarterly Armenian macroeconomic variables from 1996 to 2014,
we estimate parameters of the three models. Based on the out-of-sample root
mean squared error criterion we conclude on the most relevant model.
We
present an econometric analysis of three main channels (exchange rate channel,
interest rate channel and credit channel) of the transmission mechanism of the
monetary policy in Belarus. The analysis uses vector autoregressive models
built on data from 2003 to 2014 and implemented via the Bayesian approach. The
results show that all the three channels are functional. The shortest lag
reaction (one quarter) of the target indicators (GDP and inflation) is caused
by the money supply shock. One of the features of the estimated transmission
mechanism is lack of reaction of exports to an exchange rate shock of the
Belarusian ruble.
International conference “Modern econometric tools and
applications”