Similar Search Results

Overlaying Time Scales in Financial Volatility Data

Hillebrand, Eric - EconWPA - 2005

Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation structure that reverts to the mean in less than a month. We find this short correlation time scale in six different daily financial time series and use it to improve the short-term...

Persistent link: https://www.econbiz.de/10005062571

OLS Estimate of Fractional Differencing Parameter Using Wavelets Derived from Smoothing Kernels

Jensen, Mark J. - EconWPA - 1995

This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using continuous wavelet theory as constructed from smoothing kernels. We show that a log-log linear relationship exists between the variance of the wavelet coefficient and the level at...

Persistent link: https://www.econbiz.de/10005119157

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a common news arrival variable. Consequently, these two variables should be correlated. This paper extends, and to some extent, globalises the concept of a common information arrival...

Persistent link: https://www.econbiz.de/10005407887

Asymptotics for Duration-Driven Long Range Dependent Processes

Hsieh, Mengchen; Hurvich, Clifford; Soulier, Philippe - EconWPA - 2004

We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration- driven long range dependence (DDLRD), as opposed to the more widely studied linear long range dependence based on fractional differencing of an $iid$...

Persistent link: https://www.econbiz.de/10005407934

Semiparametric Estimation of Fractional Cointegrating Subspaces

Chen, Willa; Hurvich, Clifford - EconWPA - 2004

We consider a common components model for multivariate fractional cointegration, in which the s=1 components have different memory parameters. The cointegrating rank is allowed to exceed 1. The true cointegrating vectors can be decomposed into orthogonal fractional cointegrating subspaces such...

Persistent link: https://www.econbiz.de/10005407953

A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA

Dalkir, Mehmet - EconWPA - 2005

The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...

Persistent link: https://www.econbiz.de/10005407981

GMM Estimation for Long Memory Latent Variable Volatility and Duration Models

Chen, Willa; Deo, Rohit - EconWPA - 2005

We study the rate of convergence of moment conditions that have been commonly used in the literature for Generalised Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable possesses long memory, these moment conditions have an...

Persistent link: https://www.econbiz.de/10005556285

Wavelets in Econometrics: An Application to Outlier Testing

Greenblatt, Seth A. - EconWPA - 1994

In recent years, wavelets have become widely used in physics, engineering, and mathematics. They have been used for … signal processing, image processing, numerical computation, and data compression. Wavelets have not, however, been used very … context of multiresolution analysis, discuss its uses in other fields, and present an Econometric application of wavelets to …

Persistent link: https://www.econbiz.de/10005124893

Markov Chain Monte Carlo Simulation Methods in Econometrics

Chib, Siddhartha; Greenberg, Edward - EconWPA - 1994

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical...

Persistent link: https://www.econbiz.de/10005124895

Fitting Equilibrium Search Models to Labor Market Data

Bowlus, Audra J.; Kiefer, Nicholas M.; Neumann, George R. - EconWPA - 1996

The essential idea of equilibrium search models of labour market behaviour is that wage policy matters. In contrast, the stylized neoclassical competitive model predicts that firms paying a wage above the competitive equilibrium will disappear; those offering less will attract no workers. The...

Persistent link: https://www.econbiz.de/10005124896

1
2
3
4
5
6
7
8
9
10
Next
Last