persistence of spatial clustering across this set of socio-economic indicators through the application of a number of simple …

aggregate unemployment persistence based on externalities at a market level rather than individual-level persistence. …

performance is not significantly different from zero. The paper goes on to examine persistence in performance of these pension … schemes and identifies negative persistence at short horizons, but at time-intervals of six months to one year finds … significant positive persistence, though this positive persistence weakens at longer time intervals. …

stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …

We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … volatility model, uncorrelation in the levels but autocorrelation in the squares, when the rescaled innovation is common across …

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic …

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in … modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is … for GARCH models only, the basic idea may be applied to address the estimation procedure selection problem in a general …

GARCH model. We extend the univariate Markov-Switching GARCH of Haas, Mittnik and Paolella (2004) into a bivariate Markov …-switching GARCH model with Conditional Constant Correlation (CCC) speci…cation within each regime, though the correlation may change … across regimes. Our model allows separate state variable governing each of the three processes: bond volatility, stock …

volatility into these four sources, quantify their contribution to aggregate volatility, and study how they relate to the stage …, and slowly increases at later stages of development. Third, the volatility of country-specific macroeconomic shocks falls … with the level of development. We argue that many theories linking volatility and development are not consistent with these …

GARCH models are commonly used as latent processes in econometrics, financial economics and macroeconomics. Yet no …