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Forecasting high-frequency electricity demand with a diffusion index model.

Franses, Philip Hans; Rotger, G.P. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

We propose a discussion index model (Stock and Watson, 2002) to fore- cast electricity demand for one hour to one week ahead. The model is particularly useful as it captures complicated seasonal patterns in the data. The forecast performance of the proposed method is illustrated with a simulated...

Persistent link: https://www.econbiz.de/10010837726

Precious Metals-Exchange Rate Volatility Transmissions and Hedging Strategies

Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

This study examines the conditional volatility and correlation dependency and interdependency for the four major … volatility. These results have become more pervasive when the exchange rate and FFR are included. Monetary policy also has a …

Persistent link: https://www.econbiz.de/10010732605

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010

realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of … multivariate volatility models, and thinking carefully about forecasting models and expertise …

Persistent link: https://www.econbiz.de/10010837984

Bayesian Analysis of Seasonal Unit Roots and Seasonal Mean Shifts

Franses, Philip Hans; Paap, Richard; Hoek, Hoek, H. - Faculteit der Economische Wetenschappen, Erasmus … - 1995

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...

Persistent link: https://www.econbiz.de/10010731564

Testing for changes in volatility in heteroskedastic time series - a further examination

De Pooter, Michiel; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2004

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based … the correct null hypothesis of no volatility change is rejected much too frequently. Applying the tests to standardized … designed to test sequentially for the presence of multiple changes in volatility. An application to emerging markets stock …

Persistent link: https://www.econbiz.de/10010731577

A Trinomial Test for Paired Data When There are Many Ties

McAleer, Michael; Wong, Wing-Keung; Bian, Bian, G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010

This paper develops a new test, the trinomial test, for pairwise ordinal data samples to improve the power of the sign test by modifying its treatment of zero differences between observations, thereby increasing the use of sample information. Simulations demonstrate the power superiority of the...

Persistent link: https://www.econbiz.de/10010731611

Testing Non-nested Demand Relations: Linear Expenditure System versus Indirect Addilog

Paap, Richard; de Boer, P.M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

In applied economic research computable general equilibrium [CGE] models in which the behavior of economic agents are modeled, are widely used. In many CGE models, the Linear Expenditure System [LES] is used to model behavior of the household sector. The disadvantage of LES is that the Engel...

Persistent link: https://www.econbiz.de/10010731621

Testing for causality in variance in the presence of breaks

van Dijk, Dick; Osborn, Osborn, D.R.; Sensier, Sensier, M. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

We examine the size properties of tests for causality in variance in the presence of structural breaks in volatility … taken into account. Pre-testing the series for structural changes in volatility is shown to largely remedy the problem. …

Persistent link: https://www.econbiz.de/10010731742

Generalized Reduced Rank Tests using the Singular Value Decomposition

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2003

statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951 … limiting distribution. In case of a Kronecker covariance matrix, the rank statistic simplifies to the canonical correlation …

Persistent link: https://www.econbiz.de/10010731839

Modelling Multiple Regimes in the Business Cycle

van Dijk, Dick; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 1997

The interest in business cycle asymmetry has been steadily increasing over the last fifteen years. Most research has focused on the different behaviour of macroeconomic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase...

Persistent link: https://www.econbiz.de/10010731840