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Andrew H. Chen, Jack Penm and R.D. Terrell

In this chapter, we apply an efficient subset of vector error correction model (VECM) using the forgetting factor to examine the cointegration under climate change of the…

Abstract

In this chapter, we apply an efficient subset of vector error correction model (VECM) using the forgetting factor to examine the cointegration under climate change of the time series of the gross domestic product (GDP) and the industrial production and that of the utilization and consumption of important metals such as copper and steel in some important OECD countries as well as some selected newly industrialized Asian and Latin American countries. Both the long-term and the short-term dynamic relations among these variables are examined and the implications are discussed.

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Research in Finance
Type: Book
ISBN: 978-1-84950-726-4

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Timothy J. Brailsford, Jack H.W. Penm and Richard D. Terrell

This paper applies the variable forgetting factor and the fixed forgetting factor to financial time-series analysis, and establishes the linkage for the first time between…

Abstract

This paper applies the variable forgetting factor and the fixed forgetting factor to financial time-series analysis, and establishes the linkage for the first time between the variable forgetting factor approach and kernel smoothing. We then demonstrate the use of the proposed variable forgetting factor approach to undertake forecasting of the Euro's exchange rates and the CRSP monthly net asset values (NAV). For both applications, the findings show that the kernel bandwidth so determined can improve the forecasting performance.

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Research in Finance
Type: Book
ISBN: 978-1-84950-441-6

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Abstract

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-726-4

To view the access options for this content please click here

Abstract

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-441-6

To view the access options for this content please click here
Book part

John W. Kensinger

The current volume in the Research in Finance series features an international set of contributors. The overall theme of the volume is a timely topic capturing one of the…

Abstract

The current volume in the Research in Finance series features an international set of contributors. The overall theme of the volume is a timely topic capturing one of the leading issues of the year: coping with “systemic” risk.

Details

Research in Finance
Type: Book
ISBN: 978-1-84950-726-4

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