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Ten Things We Should Know About Time Series

McAleer, M.J.; Oxley, L. - Erasmus University Rotterdam, Econometric Institute - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008484072

Autoregression-Based Estimators for ARFIMA Models

Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2 d 1, and in the stationary case we provide a Normal approximation to the finite-sample...

Persistent link: https://www.econbiz.de/10005100960

A nonlinear long memory model for US unemployment

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2000

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...

Persistent link: https://www.econbiz.de/10005505011

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

Persistent link: https://www.econbiz.de/10008570627

Flexible Seasonal Long Memory and Economic Time Series

Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10004972223

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Persistent link: https://www.econbiz.de/10004972274

A component GARCH model with time varying weights

Storti, Giuseppe; Bauwens, Luc - Society for Computational Economics - SCE - 2006

highly dependent on the magnitude of shocks themselves. Markov-Switching GARCH (MS-GARCH) models are a valuable tool for … dynamics, it is here suggested to use a modification of the component GARCH model proposed by Ding and Granger (1996) in which … lagged values of the conditional standard deviation. Differently from MS-GARCH models, likelihood based inference for the …

Persistent link: https://www.econbiz.de/10005706195

Using High Frequency Data to Calculate, Model and Forecast Realized Volatility

Oomen, Roel - Society for Computational Economics - SCE - 2001

, and, although it outperforms representative GARCH models, it does so with greater complexity and data intensiveness that … may not be worthwhile relative to GARCH's simplicity and flexibility. …

Persistent link: https://www.econbiz.de/10005706766

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10004976982

It Pays to Violate: How Effective are the Basel Accord Penalties?

Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...

Persistent link: https://www.econbiz.de/10008484079