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The stochastic fluctuation of the quantile regression curve

Härdle, Wolfgang Karl; Song, Song - 2008

Let (X1, Y1), . . ., (Xn, Yn) be i.i.d. rvs and let l(x) be the unknown p-quantile regression curve of Y on X. A quantile-smoother ln(x) is a localised, nonlinear estimator of l(x). The strong uniform consistency rate is established under general conditions. In many applications it is necessary...

Persistent link: https://www.econbiz.de/10010274144

When, how fast and by how much do trade costs change in the Euro area?

Herwartz, Helmut; Weber, Henning - 2008

Microfoundations of the euro's effect on euro area trade hinge on the timing, the speed and the size of adjustment in … at the sector level. We find that, due to falling trade costs, trade within the euro area increases between the years … 2000 and 2003 by 10 to 20 percent compared with trade between European countries that are not members of the euro area …

Persistent link: https://www.econbiz.de/10010331062

Monetary transmission right from the start: The (dis)connection between the money market and the ECB's main refinancing rates

Abbassi, Puriya; Nautz, Dieter - 2010

process in the euro area. This paper investigates how money market rates respond to the new information revealed by MRO …

Persistent link: https://www.econbiz.de/10010270729

What are the effects of fiscal policy shocks?

Mountford, Andrew; Uhlig, Harald - 2005

We propose and apply a new approach for analyzing the effects of fiscal policy using vector autoregressions. Unlike most of the previous literature this approach does not require that the contemporaneous reaction of some variables to fiscal policy shocks be set to zero or need additional...

Persistent link: https://www.econbiz.de/10010263594

Structural constant conditional correlation

Weber, Enzo - 2008

A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...

Persistent link: https://www.econbiz.de/10010263718

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus; Ou, Yangguoyi - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10010263750

Structural dynamic conditional correlation

Weber, Enzo - 2008

). The additional fexibility is shown to make an important contribution in the estimation of empirical real-data examples. …

Persistent link: https://www.econbiz.de/10010263754

A brand specific investigation of international cost shock threats on price and margin with a manufacturer-wholesaler-retailer model

Dannewald, Till; Hildebrandt, Lutz - 2008

In times of increasing oil prices and a weak dollar, European companies that focus their business on the US market may find themselves in a weak position. While many businesses can hedge this kind of risk by relocating production to the US, or employing financial remedies, these strategies may...

Persistent link: https://www.econbiz.de/10010263755

Lee-Carter and the macroeconomy

Hanewald, Katja - 2009

Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes...

Persistent link: https://www.econbiz.de/10010265670

Bayesian inference in a stochastic volatility Nelson-Siegel Model

Hautsch, Nikolaus; Yang, Fuyu - 2010

In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

Persistent link: https://www.econbiz.de/10010270702