Search Results - "Pauwels, Laurent"

Some theoretical results on forecast combinations by Chan, Felix, Pauwels, Laurent L.

“…This paper proposes a framework for the analysis of the theoretical properties of forecast combination, with the forecast performance being measured in terms…”
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Do external political pressures affect the Renminbi exchange rate? by Liu, Li-Gang, Pauwels, Laurent L.

“…This paper investigates whether external political pressure for faster Renminbi appreciation affects both the daily returns and the conditional volatility of…”
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A note on the estimation of optimal weights for density forecast combinations by Pauwels, Laurent L., Vasnev, Andrey L.

“…The problem of finding appropriate weights for combining several density forecasts is an important issue that is currently being debated in the forecast…”
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Forecast combination for discrete choice models: predicting FOMC monetary policy decisions by Pauwels, Laurent L., Vasnev, Andrey L.

“…This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead…”
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A new structural multivariate GARCH-BEKK Model: Causality of green, sustainable and fossil energy ETFs by Asai, Manabu, Chang, Chia-Lin, McAleer, Michael, Pauwels, Laurent

“…The article examines exchange-traded funds (ETFs) for green and sustainable energy regarding causality in their asset returns and volatilities. The structural…”
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Does portfolio margining make borrowing more attractive? by Matsypura, Dmytro, Pauwels, Laurent L.

“…This paper investigates the effects of a change in the margin rules of the U.S. financial securities markets. These rules determine how much investors can…”
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Asymptotic and finite sample properties for multivariate rotated GARCH models by Asai, Manabu, Chang, Chia-Lin, McAleer, Michael, Pauwels, Laurent

“…This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK (RBEKK) models. From the definition of…”
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MEASURING RISK IN ENVIRONMENTAL FINANCE by Hoti, Suhejla, McAleer, Michael, Pauwels, Laurent L.

“…Environmental sustainability indices, such as the Dow Jones Sustainability Indexes and the Ethibel Sustainability Index, quantify the development and promotion…”
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What Prompts the People's Bank of China to Change Its Monetary Policy Stance? Evidence from a Discrete Choice Model by He, Dong, Pauwels, Laurent L.

“…In the present paper, we model the policy stance of the People's Bank of China (PBC) as a latent variable, and the discrete changes in the reserve requirement…”
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An empirical approximation of the effects of trade sanctions with an application to Russia by Imbs, Jean, Pauwels, Laurent

“…SUMMARY We propose a data-based approximation of the effects of trade sanctions that can readily be computed on the basis of international input–output data…”
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Modelling environmental risk by Hoti, Suhejla, McAleer, Michael, Pauwels, Laurent L.

“…As environmental issues have become increasingly important in economic research and policy for sustainable development, firms in the private sector have…”
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The Promise of Cooperation in Latin America: Building Deforestation-Free Supply Chains by Garcia, Beatriz, Pauwels, Laurent

“…An EU Regulation proposed in 2021 prohibits the trading of deforestation-linked commodities and products on the EU market. 1 The Regulation aims this ban at…”
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AN OPEN-ECONOMY NEW KEYNESIAN PHILLIPS CURVE: EVIDENCE FROM HONG KONG by Genberg, Hans, Pauwels, Laurent L.

“…  This paper extends the new hybrid Keynesian Phillips Curve (NKPC) to the open‐economy context. We hypothesize that pricing decisions depend on both labour…”
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WAGE-PRICE DYNAMICS AND DEFLATION IN HONG KONG by Genberg, Hans, Pauwels, Laurent L.

“…  We provide empirical evidence on the dynamics of prices and wages in Hong Kong. The results suggest that the post‐1997 deflation can be understood using a…”
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La Lucha contra la Deforestación a Través de las Cadenas de Suministro Globales: ¿Una Oportunidad de Reenfocar la Cooperación Ambiental en América Latina? by Garcia, Beatriz, Pauwels, Laurent

“…Una propuesta de Reglamento europeo de 2021 prohíbe el comercio de materias primas y productos relacionados con la deforestación en el mercado de la Unión…”
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Forecast combination for U.S. recessions with real-time data by Pauwels, Laurent, Vasnev, Andrey

“…•We use probability forecast combination to forecast the U.S. business cycle.•We examine the coincident indicators and yield curve models’ forecasting…”
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Model specification in panel data unit root tests with an unknown break by Chan, Felix, Pauwels, Laurent

“…Although the impact of structural breaks on testing for unit root has been studied extensively for univariate time-series, such impact on panel data unit root…”
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Forecasting Monetary Policy Decisions in Australia: A Forecast Combinations Approach by Vasnev, Andrey, Skirtun, Margaret, Pauwels, Laurent

“…ABSTRACT This paper applies a triple‐choice ordered probit model, corrected for nonstationarity to forecast monetary decisions of the Reserve Bank of…”
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The impact of serial correlation on testing for structural change in binary choice model: Monte Carlo evidence by Chan, Felix, Pauwels, Laurent L., Wongsosaputro, Johnathan

“…This paper examines the finite sample properties of structural change tests with an unknown breakpoint for the probit model in the presence of serial…”
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Multivariate volatility in environmental finance by Hoti, Suhejla, McAleer, Michael, Pauwels, Laurent L.

“…There exist several important benchmark indexes in environmental finance, some computed by well-known financial index providers such as the Dow Jones group and…”
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