A Random Walk, Markov Model for the Distribution of Time Series
TLDR
In this paper, a technique for distributing quarterly time series across monthly values is described, which generalizes an approach described by Fernandez (1981) and presents results of a test of the accuracy of these two approaches and of two standard procedures suggested by Chow and Lin.Abstract:
This article describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernandez (1981). The article also presents results of a test of the accuracy of these two approaches and of the accuracy of two standard procedures suggested by Chow and Lin (1971).read more
Citations
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Time-Varying Effects of Oil Supply Shocks on the US Economy
TL;DR: This paper investigated how the dynamic eects of oil supply shocks on the US economy have changed over time and found that a typical oil supply shock is currently characterized by a much smaller impact on world oil production and a greater eect on the real price of crude oil, but has a similar impact on US output and in-ability as in the 1970s.
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Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
TL;DR: In this paper, a multivariate regression model with across-equations restrictions is proposed for the arbitrage pricing theory (APT) and the results are invariant with respect to the inclusioh of January effects.
Book
Investment in capital markets
TL;DR: In this paper, the authors discuss the pros and cons of the financial capital investment in the capital markets, discussing the sophisticated investment concepts and techniques in the simple understandable readable general format language.
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Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates
TL;DR: In this article, the arbitrage pricing theory is recast as a multivariate nonlinear regression model with across-equation restrictions, and an explicit theoretical justification for the inclusion of an arbitrary, well-diversified market index is given.
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A Coincident Index, Common Factors, and Monthly Real GDP*
TL;DR: In this article, a Gaussian vector autoregression (VAR) and factor model for real gross domestic product (GDP) and other coincident indicators using the observable mixed-frequency series is proposed.
References
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Journal ArticleDOI
Best linear unbiased interpolation, distribution, and extrapolation of time series by related series
Gregory C. Chow,An-loh Lin +1 more
TL;DR: ChowLin distributes a series, changing the frequency to a higher one while maintaining the sum over each period, using the Chow-Lin(1971) or related procedure as mentioned in this paper.
Journal ArticleDOI
A Methodological Note on the Estimation of Time Series
TL;DR: ChowLin distributes a series, changing the frequency to a higher one while maintaining the sum over each period, using the Chow-Lin(1971) or related procedure as mentioned in this paper.
Posted Content
The Interpolation of Time Series by Related Series
TL;DR: In this paper, the authors propose a generalization of current methods that takes account of the correlation between the movements of the given series and the related series, and convert the problem into a simple bivariate regression problem.
Book
The Interpolation of Time Series by Related Series
TL;DR: In this article, the authors propose a generalization of current methods that takes account of the correlation between the movements of the given series and the related series, and convert the problem into a simple bivariate regression problem.
Related Papers (5)
Best linear unbiased interpolation, distribution, and extrapolation of time series by related series
Gregory C. Chow,An-loh Lin +1 more