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Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data

Driver, Ciaran; Trapani, Lorenzo - Econometric Society - 2004

three ways: by cross-section dispersion of optimism expectations, by a GARCH series based on the optimism data and by an …

Persistent link: https://www.econbiz.de/10005342212

Extremal Correlation for GARCH Data

Quintos, Carmela - Econometric Society - 2004

This paper introduces a nonparametric estimator for tail dependence in the constant conditional correlation GARCH … difference between the distribution of the tail dependence estimator under the iid and GARCH case is a scaling variance. Without …

Persistent link: https://www.econbiz.de/10005342216

A Bayesian MCMC Algorithm for Markov Switching GARCH models

Das, Dhiman; Yoo, B. Hark - Econometric Society - 2004

Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial …

Persistent link: https://www.econbiz.de/10005342298

The Impact of the Japanese Banking Crisis on the Intraday FX Market

Hashimoto, Yuko - Econometric Society - 2004

on the foreign exchange market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence …

Persistent link: https://www.econbiz.de/10005342336

A conditional distribution model for limited stock index returns

Sanddorf-Koehle, Walter G.; Friedmann, Ralph - Econometric Society - 2004

When a price limit regime exists for all of the stocks involved in an index, the index return is an aggregate of limited variables and thereby it is restricted to the same limits. We argue that neither a censored nor a truncated distribution model is appropriate for the aggregate return. The...

Persistent link: https://www.econbiz.de/10005342370

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

Persistent link: https://www.econbiz.de/10005063629

Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices

Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004

In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...

Persistent link: https://www.econbiz.de/10005063668

A Bayesian MCMC Algorithm for Markov Switching GARCH models

Das, Dhiman; Yoo, B. Hark - Econometric Society - 2004

Markov switching GARCH models have been developed in order to address the statistical regularity observed in financial …

Persistent link: https://www.econbiz.de/10005063716

WWII and Long Run Convergence in the OECD

Robertson, Peter E.; Landon-Lane, John - Econometric Society - 2004

Existing evidence for unconditional convergence in the OECD is mixed, and depends largely on whether time series or … cross sectional methods are used. In this paper we reconsider the evidence for unconditional convergence by dividing the … long-run growth in output to test for unconditional convergence and to test for equality of long-run growth across …

Persistent link: https://www.econbiz.de/10005130215

Productivity of Nations: a stochastic frontier approach to TFP decomposition

Garcia, Fernando; Pires, Jorge Oliveira - Econometric Society - 2004

This paper tackles the problem of aggregate TFP measurement using stochastic frontier analysis (SFA). Data from Penn World Table 6.1 are used to estimate a world production frontier for a sample of 75 countries over a long period (1950-2000) taking advantage of the model offered by Battese &...

Persistent link: https://www.econbiz.de/10005699603