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Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

The empirically most relevant stylized facts when it comes to modeling time varying financial volatility are the asymmetric response to return shocks and the long memory property. Up till now, these have largely been modeled in isolation though. To more flexibly capture asymmetry also with...

Persistent link: https://www.econbiz.de/10010575949

Occurrence of long and short term asymmetry in stock market volatilities

Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2012

We introduce the notions of short and long term asymmetric effects in volatilities. With short term asymmetry we mean the conventional one, i.e. the asymmetric response of current volatility to the most recent return shocks. However, there may be asymmetries in the way the effect of past return...

Persistent link: https://www.econbiz.de/10010575950

Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges

Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in …

Persistent link: https://www.econbiz.de/10005198022

Identification of jumps in financial price series

Hellström, Jörgen; Lönnbark, Carl - Institutionen för Nationalekonomi, Umeå Universitet - 2011

The paper outlines and tests, by means of Monte-Carlo simulations, a simple strategy of using existing non-parametric tests for jumps at the daily frequency to identify jumps at higher sampling frequencies. The suggested strategy allow for identification of the number of jumps and jump times...

Persistent link: https://www.econbiz.de/10009021424

Central Bank Independence and Price Stability: Evidence from 23 OECD-countries

Daunfeldt, Sven-Olov; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 2002

In this paper, we use a non-parametric regression method to compare the transition process from high to low inflation with the implementation dates of central bank independence reforms. In a majority of the countries, price stability is achieved before more independence is given to the central...

Persistent link: https://www.econbiz.de/10005771224

Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns

Brännäs, Kurt; Quoreshi, Shahiduzzaman; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2002

The paper studies Swedish stock series using extreme-value theoretical approaches. In a univariate setting support is found for the Fréchet family of distributions for minima and maxima. Pairs of return series are found to be asymptotically independent throughout. The results render support for...

Persistent link: https://www.econbiz.de/10005424013

Equality of Opportunity, Heterogeneity and Poverty

Nilsson, William - Institutionen för Nationalekonomi, Umeå Universitet - 2005

circumstances likely to affect an individual’s opportunities. A semiparametric model is estimated to allow for a possible nonlinear … behavior would make the relationship nonlinear. The results indicate significant inequality of opportunities. However, they do … not indicate a nonlinear relationship between parental income and the income of the adult child. Thus, the hypothesis that …

Persistent link: https://www.econbiz.de/10005424018

The Efficacy and Cost of Regime Shifts in Inflation Policies: Evidence from New Zealand and Sweden

Daunfeldt, Sven-Olov; de Luna, Xavier - Institutionen för Nationalekonomi, Umeå Universitet - 1998

In this paper a comparative study of the regime shift in inflation policies in New Zealand and Sweden is performed. We use a non-parametric regression method to decompose the inflation time series into three components of variation: a long-term trend, a medium-term (cyclical and transient...

Persistent link: https://www.econbiz.de/10005207271

A Positive Lyapunov Exponent in Swedish Exchange Rates?

Bask, Mikael - Institutionen för Nationalekonomi, Umeå Universitet - 2000

Can nominal exchange rates be characterized by deterministic chaos? To answer this question, a statistical framework utilizing a blockwise bootstrap procedure is used to test for the presence of a positive Lyapunov exponent in an observed stochastic time series (Bask and Gencay, 1998). Daily...

Persistent link: https://www.econbiz.de/10005207281

Estimation in a Duration Model for Evaluating Educational Programs

Brännäs, Kurt - Institutionen för Nationalekonomi, Umeå Universitet - 2000

The paper proposes two estimation approaches for duration models that are subject to right censored observations and selection effects. Main focus is on accelerated duration models and the estimators are of the limited information type, i.e. they are not based on a fully specified selection...

Persistent link: https://www.econbiz.de/10005197986