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Nowcasting causality in mixed frequency vector autoregressive models

Götz, Thomas B.; Hecq, Alain - In: Economics Letters 122 (2014) 1, pp. 74-78

This paper introduces nowcasting causality as the mixed-frequency version of instantaneous causality. We analyze the relationship between nowcasting and Granger causality in a mixed-frequency VAR and illustrate its impact on the significance of high-frequency variables in mixed-frequency...

Persistent link: https://www.econbiz.de/10011041595

Selected macroeconomic variables and stock market movements : empirical evidence from Thailand

Forson, Joseph Ato; Janrattanagul, Jakkaphong - In: Contemporary economics 8 (2014) 2, pp. 157-174

This paper investigates and analyzes the long-run equilibrium relationship between the Thai stock Exchange Index (SETI) and selected macroeconomic variables using monthly time series data that cover a 20-year period from January 1990 to December 2009. The following macroeconomic variables are...

Persistent link: https://www.econbiz.de/10010406272

Identification and critical time forecasting of real estate bubbles in the USA and Switzerland

Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014

elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback …

Persistent link: https://www.econbiz.de/10010411858

Enhancing the local power of IVX-based tests in predictive regressions

Demetrescu, Matei - In: Economics Letters 124 (2014) 2, pp. 269-273

regressors are highly persistent. The reduced convergence rates may sometimes lead to power losses in finite samples when testing … for no predictability, for instance. The note discusses a simple way of improving the local power of IVX-based tests … the power loss of IVX would have been maximal compared to the infeasible OLS-based test. …

Persistent link: https://www.econbiz.de/10010933300

Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV

Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46

This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...

Persistent link: https://www.econbiz.de/10010939493

A simple approach to standardized-residuals-based higher-moment tests

Chen, Yi-Ting - In: Journal of Empirical Finance 19 (2012) 4, pp. 427-453

We propose a new approach to the higher-moment tests for evaluating the standardized error distribution hypothesis of a conditional mean-and-variance model (such as a GARCH-type model). Our key idea is to purge the effect of estimating the conditional mean-and-variance parameters on the...

Persistent link: https://www.econbiz.de/10010942980

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10011009896

Value at Risk of the main stock market indexes in the European Union (2000–2012)

Iglesias, Emma M. - In: Journal of Policy Modeling 37 (2015) 1, pp. 1-13

We analyze extreme movements of the main stocks market indexes in the European Union. We find that the Sweden and UK markets are the preferred ones for risk averse investors since they present the best risk-return performance. Moreover, the UK market is found to have a very low dependence with...

Persistent link: https://www.econbiz.de/10011209143

Centurial evidence of breaks in the persistence of unemployment

Ghoshray, Atanu; Stamatogiannis, Michalis P. - In: Economics Letters 129 (2015) C, pp. 74-76

A novel procedure is applied to test for switches between hysteresis and the natural rate theory over more than a century of UK and USA unemployment data. For both the countries we see a period conforming to hysteresis starting in the early 1920s for the UK and 1930 for USA.

Persistent link: https://www.econbiz.de/10011263414

Análisis de las desviaciones presupuestarias aplicado al caso del presupuesto del Estado/The Performance of the Budgetary Target of the Central Government in Spain

LEAL LINARES, TERESA; PÉREZ GARCÍA, JAVIER J. - In: Estudios de Economía Aplicada 29 (2011) Diciembre, pp. 909-909

En este trabajo estudiamos las características y los determinantes de las desviaciones entre las cifras iniciales y finales de los ingresos y gastos públicos incluidos en los presupuestos generales del Estado en el período 1985-2006 para el caso español. Nuestro objetivo es evaluar el grado...

Persistent link: https://www.econbiz.de/10009421556

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