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Flexible Seasonal Long Memory and Economic Time Series

Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10004972223

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Persistent link: https://www.econbiz.de/10004972274

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the … FIGARCH model of Baillie et al. (1996), FIEGACH model of Bollerslev and Mikkelsen (1996), and FIAPARCH model of Tse (1998 …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of …

Persistent link: https://www.econbiz.de/10008570627

Ten Things We Should Know About Time Series

McAleer, M.J.; Oxley, L. - Erasmus University Rotterdam, Econometric Institute - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008484072

A nonlinear long memory model for US unemployment

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2000

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...

Persistent link: https://www.econbiz.de/10005505011

Analytic Moments for GARCH Processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010

Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …

Persistent link: https://www.econbiz.de/10010838036

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Alexander, Carol; Prokopczuk, Marcel; Sumawon, Anannit - Henley Business School, University of Reading - 2012

produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …

Persistent link: https://www.econbiz.de/10010838053

Endogenizing Model Risk to Quantile Estimates

Alexander, Carol; Sarabia, Jose Maria - Henley Business School, University of Reading - 2010

We quantify and endogenize the model risk associated with quantile estimates using a maximum entropy distribution (MED) as benchmark. Moment-based MEDs cannot have heavy tails, however generalized beta generated distributions have attractive properties for popular applications of quantiles....

Persistent link: https://www.econbiz.de/10010838057

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10008800914

Daily exchange rate behaviour and hedging of currency risk

Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …

Persistent link: https://www.econbiz.de/10008570624