Search Results - "Hlouskova, Jaroslava"

The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study by Wagner, Martin, Hlouskova, Jaroslava

“…This article presents results concerning the performance of both single equation and system panel cointegration tests and estimators. The study considers the…”
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NATURAL DISASTERS AS CREATIVE DESTRUCTION? EVIDENCE FROM DEVELOPING COUNTRIES by CRESPO CUARESMA, JESÚS, HLOUSKOVA, JAROSLAVA, OBERSTEINER, MICHAEL

“…Recent studies found a robust positive correlation between the frequency of natural disasters and the long‐run economic growth after conditioning for other…”
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Forecasting electricity spot-prices using linear univariate time-series models by Crespo Cuaresma, Jesús, Hlouskova, Jaroslava, Kossmeier, Stephan, Obersteiner, Michael

“…This paper studies the forecasting abilities of a battery of univariate models on hourly electricity spot prices, using data from the Leipzig Power Exchange…”
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The Determinants of Long-Run Economic Growth: A Conceptually and Computationally Simple Approach by Hlouskova, Jaroslava, Wagner, Martin

“…In this paper we use principal components augmented regressions (PCARs), partly in conjunction with model averaging, to determine the variables relevant for…”
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Prospect theory and asset allocation by Fortin, Ines, Hlouskova, Jaroslava

“…We study the asset allocation of an investor with prospect theory (PT) preferences. First, we solve analytically the two-asset problem of the PT investor for…”
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Agricultural commodity price dynamics and their determinants: A comprehensive econometric approach by Crespo Cuaresma, Jesus, Hlouskova, Jaroslava, Obersteiner, Michael

“…We present a comprehensive modelling framework aimed at quantifying the response of agricultural commodity prices to changes in their potential determinants…”
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Regime‐dependent commodity price dynamics: A predictive analysis by Crespo Cuaresma, Jesus, Fortin, Ines, Hlouskova, Jaroslava, Obersteiner, Michael

“…We develop an econometric modelling framework to forecast commodity prices taking into account potentially different dynamics and linkages existing at…”
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Inflation forecasting in turbulent times by Ertl, Martin, Fortin, Ines, Hlouskova, Jaroslava, Koch, Sebastian P., Kunst, Robert M., Sögner, Leopold

“…In the recent years many countries were hit by a series of macroeconomic shocks, most notably as a consequence of the COVID-19 pandemic and Russia’s invasion…”
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GMM estimation of affine term structure models by Hlouskova, Jaroslava, Sögner, Leopold

“…Parameter estimation of affine term structure models by means of the generalized method of moments is investigated. Exact moments of the affine latent process…”
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Financial and economic uncertainties and their effects on the economy by Fortin, Ines, Hlouskova, Jaroslava, Sögner, Leopold

“…We estimate new indices measuring financial and economic uncertainty in the euro area, Germany, France, the United Kingdom and Austria, following the approach…”
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Optimal asset allocation under linear loss aversion by Fortin, Ines, Hlouskova, Jaroslava

“…We study the asset allocation of a linear loss-averse (LA) investor and compare it to the more traditional mean-variance (MV) and conditional value-at-risk…”
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The consumption–investment decision of a prospect theory household: A two-period model with an endogenous second period reference level by Hlouskova, Jaroslava, Fortin, Ines, Tsigaris, Panagiotis

“…In this paper we analyze the two-period consumption–investment decision of a household with prospect theory preferences and an endogenous second period…”
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Forecasting Errors, Directional Accuracy and Profitability of Currency Trading: The Case of EUR/USD Exchange Rate by Costantini, Mauro, Cuaresma, Jesus Crespo, Hlouskova, Jaroslava

“…We provide a comprehensive study of out‐of‐sample forecasts for the EUR/USD exchange rate based on multivariate macroeconomic models and forecast combinations…”
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Fundamentals, speculation or macroeconomic conditions? Modelling and forecasting Arabica coffee prices by Crespo Cuaresma, Jesus, Hlouskova, Jaroslava, Obersteiner, Michael

“…We analyse the role played by market fundamentals, speculation and macroeconomic conditions as empirical determinants of price changes in Arabica coffee. We…”
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The Performance of Panel Unit Root and Stationarity Tests: Results from a Large Scale Simulation Study by Hlouskova, Jaroslava, Wagner, Martin

“…This paper presents results on the size and power of first generation panel unit root and stationarity tests obtained from a large scale simulation study. The…”
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The consumption–investment decision of a prospect theory household: A two-period model by Hlouskova, Jaroslava, Fortin, Ines, Tsigaris, Panagiotis

“…This study extends the literature on portfolio choice under prospect theory preferences by introducing a two-period life cycle model, where the sufficiently…”
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Downside loss aversion: Winner or loser? by Fortin, Ines, Hlouskova, Jaroslava

“…We study the asset allocation of a quadratic loss-averse (QLA) investor. First, we derive conditions under which the QLA problem is equivalent to the…”
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Exchange rate forecasting and the performance of currency portfolios by Crespo Cuaresma, Jesus, Fortin, Ines, Hlouskova, Jaroslava

“…We examine the potential gains of using exchange rate forecast models and forecast combination methods in the management of currency portfolios for three…”
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A behavioral portfolio approach to multiple job holdings by Hlouskova, Jaroslava, Tsigaris, Panagiotis, Caplanova, Anetta, Sivak, Rudolf

“…In this paper we present an alternative explanation of multiple job holdings. It is based on a behavioral portfolio approach using prospect theory. Multiple…”
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Finite Sample Correction Factors for Panel Cointegration Tests by Hlouskova, Jaroslava, Wagner, Martin

“…In this paper we present finite T mean and variance correction factors and corresponding response surface regressions for the panel cointegration tests…”
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