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This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...
Persistent link: https://www.econbiz.de/10010744377
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...
Persistent link: https://www.econbiz.de/10011616763
Large sample properties are studied for a first-order autoregression (AR(1)) with a root greater than unity. It is shown that, contrary to the AR coefficient, the least-squares (LS) estimator of the intercept and its t-statistic are asymptotically normal without requiring the Gaussian error...
Persistent link: https://www.econbiz.de/10011189545
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …
Persistent link: https://www.econbiz.de/10010411858
Major bubble episodes are rare events. In this paper, we examine what factors might cause some asset price bubbles to …
Persistent link: https://www.econbiz.de/10010359796
We study the empirical behaviour of semi-parametric estimation for long-memory models when the true data generating process exhibits a change in persistence. Evidence for long memory is likely to be found. Procedures for discrimination between different models are proposed.
Persistent link: https://www.econbiz.de/10010572134
Persistent link: https://www.econbiz.de/10015046376
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
We propose a dynamic generalization of the Capital Asset Pricing Model (CAPM) that allows for a time-varying market price of risk (MPR) reflecting both cross market dependence and future investment opportunities. The realized volatility approach is employed to determine market risk. The...
Persistent link: https://www.econbiz.de/10011085114
The asymptotic distributions of the maximum likelihood estimator of the persistence parameter are developed in a linear diffusion model under three sampling schemes, long-span, in-fill and double. Simulations suggest that the in-fill asymptotic distribution gives a more accurate approximation to...
Persistent link: https://www.econbiz.de/10011208455