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Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …
Persistent link: https://www.econbiz.de/10010632797
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A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
Lanne, Markku; Luoto, Jani - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...
Persistent link: https://www.econbiz.de/10010632795
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Multicointegration in US Consumption Data
Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003
The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...
Persistent link: https://www.econbiz.de/10005018683
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Noncausality and Inflation Persistence
Lanne, Markku - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for...
Persistent link: https://www.econbiz.de/10010632800
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Google Searches as a Means of Improving the Nowcasts of Key Macroeconomic Variables
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
alternative during the 2008m1-2009m5 forecast period. In addition, Google indicators are available at weekly frequency and not …
Persistent link: https://www.econbiz.de/10008549317
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Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...
Persistent link: https://www.econbiz.de/10008565836
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Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
Caporale, Guglielmo Maria; Skare, Marinko - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
volatility (d = 0.80) is also confirmed. …
Persistent link: https://www.econbiz.de/10010786996
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
concentrate on modeling the conditional mean. However, financial time series exhibit certain stylized features such as volatility … to address this issue and to gain insights on the volatility patterns of CDS spreads, bond yield spreads and stock prices … creditworthiness of debtors more reliably. The obtained findings suggest that volatility takes a significant higher level in times of …
Persistent link: https://www.econbiz.de/10008855329
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Has Stock Markets' Reaction to Terrorist Attacks Changed throughout Time?: Comparative Evidence from a Large and a Small Capitalisation Market
Kollias, Christos; Manou, Efthalia; Papadamou, Stephanos; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
investigation. Results from event study methodology as well as from conditional volatility models used here do no seem to point to …
Persistent link: https://www.econbiz.de/10008694990
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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
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10008636400