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Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

A new kind of mixture autoregressive model with GARCH errors is introduced and applied to the U.S. short-term interest rate. According to the diagnostic tests developed in the paper and further informal checks the model is capable of capturing both of the typical characteristics of the...

Persistent link: https://www.econbiz.de/10009612047

Cointegrating smooth transition regressions with applications to the Asian currency crisis

Saikkonen, Pentti; Choi, In - 2000

This paper studies the smooth transition regression model where regressors are I(1) and errors are I(0). The regressors and errors are assumed to be dependent both serially and contemporaneously. Using the triangular array asymptotics, the nonlinear least squares estimator is shown to be...

Persistent link: https://www.econbiz.de/10009612025

A fractionally integrated model with a mean shift for the US and the UK real oil prices

Gil-Alaña, Luis A. - 2000

In this article we model the log of the U.S. and the U.K. real oil prices in terms of fractionally integrated processes with a mean shift. We use different versions of the tests of Robinson (1994), which have standard null and local limit distributions. The results indicate that if we model the...

Persistent link: https://www.econbiz.de/10009611543

ExploRing persistence in financial time series

Lee, David - 2000

Persistent link: https://www.econbiz.de/10009611548

The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany

Nautz, Dieter; Wolters, Jürgen - 1998

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions … tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …, its empirical test sheds new light on the importance of expectations theory for the determinants of the term structure of …

Persistent link: https://www.econbiz.de/10009578577

On the (nonlinear) relationship between exchange rate uncertainty and trade : an investigation of US trade figures in the Group of Seven

Herwartz, Helmut (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001918978

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...

Persistent link: https://www.econbiz.de/10009578026

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

Persistent link: https://www.econbiz.de/10009579181

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...

Persistent link: https://www.econbiz.de/10009614880

Testing stochastic cycles in macroeconomic time series

Gil-Alaña, Luis A. - 2000

A particular version of the tests of Robinson (1994) for testing stochastic cycles in macroeconomic time series is proposed in this article. The tests have a standard limit distribution and are easy to implement in raw time series. A Monte Carlo experiment is conducted, studying the size and the...

Persistent link: https://www.econbiz.de/10009611541

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