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Testing for Convergence in Stock Markets: A Non-linear Factor Approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10008461820
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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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Testing Unemployment Theories: A Multivariate Long Memory Approach
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...
Persistent link: https://www.econbiz.de/10011015404
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Macro News and Bond Yield Spreads in the Euro Area
Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility …
Persistent link: https://www.econbiz.de/10010929814
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Structural Vector Autoregressions with Heteroskedasticity: A Comparison of Different Volatility Models
Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …
Persistent link: https://www.econbiz.de/10011212800
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Spillovers between Food and Energy Prices and Structural Breaks
Al-Maadid, Alanoud; Caporale, Guglielma Maria; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2015
framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …
Persistent link: https://www.econbiz.de/10011213875
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Are There Bubbles in Stock Prices?: Testing for Fundamental Shocks
Velinov, Anton; Chen, Wenjuan - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural vector autoregressive (SVAR) model claiming to distinguish fundamental and non-fundamental shocks to real stock prices. TheSVAR model relies on an identification restriction in...
Persistent link: https://www.econbiz.de/10011266592
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Structural Vector Autoregressions: Checking Identifying Long-Run Restrictions via Heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …, exogenously generated changes in the unconditional residual covariance matrix, changing volatility modelled by a Markov switching …
Persistent link: https://www.econbiz.de/10011266593
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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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Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs
Lütkepohl, Helmut; Netsunajev, Aleksei - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012
may be invalidated by measurement errors, data adjustments or omitted variables. We model changes in the volatility of the …
Persistent link: https://www.econbiz.de/10009652507