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Modelling memory of economic and financial time series

Robinson, Peter - London School of Economics (LSE) - 2005

Much time series data are recorded on economic and financial variables. Statistical modelling of such data is now very well developed, and has applications in forecasting. We review a variety of statistical models from the viewpoint of ‘memory’, or strength of dependence across time, which...

Persistent link: https://www.econbiz.de/10010928635

Fractional cointegration in stochastic volatility models

Gonçalves da Silva, Afonso; Robinson, Peter - London School of Economics (LSE) - 2007

Efficient semiparametric and parametric estimates are developed for a spatial autoregressive model, containing nonstochastic explanatory variables and innovations suspected to be non-normal. The main stress is on the case of distribution of unknown, nonparametric, form, where series...

Persistent link: https://www.econbiz.de/10010744839

The memory of stochastic volatility models

Robinson, Peter M. - London School of Economics (LSE) - 2001

Persistent link: https://www.econbiz.de/10010746529

A local instrumental variable estimation method for generalized additive volatility models

Kim, Woocheol; Linton, Oliver - London School of Economics (LSE) - 2004

already discussed in the literature. We also propose a new estimation procedure based on a localization of the econometric …

Persistent link: https://www.econbiz.de/10010746316

Information asymmetries, volatility, liquidity, and the Tobin Tax

Danilova, Albina; Julliard, Christian - London School of Economics (LSE) - 2014

if news are not generated by a stochastic volatility process, in the presence of information treatment and/or order … processing costs, the (unique) equilibrium price process is characterised by stochastic volatility. The intuition behind this …. Since new (constant volatility) information is released to the market at trading times, the price process sampled at trading …

Persistent link: https://www.econbiz.de/10011170092

Estimating semiparametric ARCH (8) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

regard to the 'news impact' function. We propose an estimation method that is based on kernel smoothing and profiled …

Persistent link: https://www.econbiz.de/10011071447

LARCH, leverage, and long memory

Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2004

Persistent link: https://www.econbiz.de/10010884511

Regional convergence clusters across Europe

Megir, Costas; Quah, Danny - London School of Economics (LSE) - 1995

Per capita incomes across European regions are not equal and do not stay constant; regional income distributions uctuate over time. Such a process could have many possible limiting outcomes: complete equal- ity (convergence), stratication, and continually increasing inequality are but three...

Persistent link: https://www.econbiz.de/10010884518

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

The distance between rival nonstationary fractional processes

Robinson, Peter M. - London School of Economics (LSE) - 2004

Asymptotic inference on nonstationary fractional time series models, including cointegrated ones, is proceeding along two routes, determined by alternative definitions of nonstationary processes. We derive bounds for the mean squared error of the difference between (possibly tapered) discrete...

Persistent link: https://www.econbiz.de/10010884694

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