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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Kausalität in den Wirtschaftswissenschaften: Welche Ursachen hat die Finanzkrise?

Bernholz, Peter; Faber, Malte; Petersen, Thomas - 2009

zeitgenössischen Wirtschaftswissenschaften spielen können. Wir untersuchen diese Frage am Beispiel der gegenwärtigen Finanzkrise. Nach … einer kurzen Beschreibung der Entstehung der Finanzkrise (Abschnitt 2) und einer Klärung des Begriffes Krise" (Abschnitt 3 …), erläutern wir ausführlich die Ursachen für die gegenwärtige Finanzkrise (Abschnitt 4), wobei auch kapitaltheoretische …

Persistent link: https://www.econbiz.de/10011422191

The environmental Kuznets curve: A survey of the empirical evidence and of possible causes

Lieb, Christoph Martin - 2003

Persistent link: https://www.econbiz.de/10011422100

Tomatoes or Tomato Pickers? - Free Trade and Migration in the NAFTA Case

del Río, Amaranta Melchor; Thorwarth, Susanne - 2006

This paper examines the relationship between trade liberalisation and migration in the case of Mexico. The increasing bilateral trade between Mexico and the United States after signing the North American Free Trade Agreement (NAFTA) was supposed to stem the illegal Mexican migration flow by...

Persistent link: https://www.econbiz.de/10011422132

Application of the Generalized Method of Moments for Estimating Continuous-Time Models of U.S. Short-Term Interest Rates

Cserna, Balázs - 2008

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias … reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find … that an alternative estimation based on NOWMAN (1997) does not sufficiently solve the problem of time aggregation. We …

Persistent link: https://www.econbiz.de/10011422171

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output: the UECCC GARCH Model

Conrad, Christian; Karanasos, Menelaos - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

Persistent link: https://www.econbiz.de/10011422179

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Persistent link: https://www.econbiz.de/10011422185

Explaining Inflation Persistence by a Time-Varying Taylor Rule

Conrad, Christian; Eife, Thomas A. - 2010

In a simple New Keynesian model, we derive a closed form solution for the inflation persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

Persistent link: https://www.econbiz.de/10011422213

Modeling the link between US inflation and output: the importance of the uncertainty channel

Conrad, Christian; Karanasos, Menelaos - 2010

This paper employs an augmented version of the UECCC GARCH specification proposed in Conrad and Karanasos (2010) which allows for lagged in-mean effects, level effects as well as asymmetries in the conditional variances. In this unified framework we examine the twelve potential intertemporal...

Persistent link: https://www.econbiz.de/10011422216

Explaining Inflation-Gap Persistence by a Time-Varying Taylor Rule

Conrad, Christian; Eife, Thomas A. - 2012

In a simple New Keynesian model, we derive a closed form solution for the inflation-gap persistence parameter as a function of the policy weights in the central bank’s Taylor rule. By estimating the time-varying weights that the FED attaches to inflation and the output gap, we show that the...

Persistent link: https://www.econbiz.de/10011422228