Realized volatility forecast with the Bayesian random compressed multivariate HAR model
In: International journal of forecasting, Volume 36, Issue 3, p. 781-799
ISSN: 0169-2070
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In: International journal of forecasting, Volume 36, Issue 3, p. 781-799
ISSN: 0169-2070
In: Emerging markets, finance and trade: EMFT, Volume 56, Issue 2, p. 392-408
ISSN: 1558-0938
In: China economic review, Volume 30, p. 113-122
ISSN: 1043-951X
In: China Economic Review, Volume 30, Issue C
SSRN
In: China economic review, Volume 24, p. 16-25
ISSN: 1043-951X
In: International journal of forecasting, Volume 33, Issue 1, p. 132-152
ISSN: 0169-2070
In: Scottish journal of political economy: the journal of the Scottish Economic Society, Volume 58, Issue 1, p. 82-106
ISSN: 1467-9485
This paper uses two game-theory models, where monetary policy is first ineffective and then effective, to illustrate a delegation scheme that makes consistent policy optimal and controllable. The delegation scheme produces the minimization of both the social and the central bank loss functions. Minimizing the social loss function generates optimality conditions. Minimizing the central bank loss function produces controllability conditions. Optimality conditions depend on specific models, and controllability conditions do not. We propose a concept of consistent targets, which refer to the targets that satisfy both optimality and controllability conditions. Consistent policy proves optimal and controllable in both example models when the government delegates consistent targets to the central bank. Adapted from the source document.
In: Scottish Journal of Political Economy, February 2011
SSRN