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Multi-Factor Gegenbauer Processes and European Inflation Rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at …
Persistent link: https://www.econbiz.de/10004963951
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10004963627
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The Euro Changeover and Price Adjustments in Italy
Caporale, Guglielmo Maria; Girardi, Alessandro; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …
Persistent link: https://www.econbiz.de/10008869172
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The Importance of Global Shocks for National Policymakers: Rising Challenges for Central Banks
Belke, Ansgar; Rees, Andreas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due...
Persistent link: https://www.econbiz.de/10008479305
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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...
Persistent link: https://www.econbiz.de/10008636400
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Long Memory and Fractional Integration in High Frequency Financial Time Series
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...
Persistent link: https://www.econbiz.de/10008560389
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010896189
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Long Memory in the Ukrainian Stock Market
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long...
Persistent link: https://www.econbiz.de/10010632796
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Long Memory in US Real Output per Capita
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1 - 2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...
Persistent link: https://www.econbiz.de/10005026831
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Estimating Persistence in the Volatility of Asset Returns with Signal Plus Noise Models
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by...
Persistent link: https://www.econbiz.de/10008584359