Similar Search Results

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

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

Did the Fed surprise the markets in 2001? : a case study for VARs with sign restrictions

Uhlig, Harald - 2001

In 2001, the Fed has lowered interest rates in a series of cuts, starting from 6.5 % at the end of 2000 to 2.0 % by early November. This paper asks, whether the Federal Reserve Bank has been surprising the markets, taking as given the conventional view about the effect of monetary policy shocks....

Persistent link: https://www.econbiz.de/10009618362

Weekday dependence of German stock market returns

Herwartz, Helmut - 1999

The so-called 'Monday effect ' has been found for various stock markets of the world. The empirical finding that Monday returns are significantly smaller than returns measured for the remaining days of the week calls the efficiency hypothesis for pricing processes operating on stock markets into...

Persistent link: https://www.econbiz.de/10009580468

Implied volatility string dynamics

Fengler, Matthias R.; Härdle, Wolfgang; Mammen, Enno - 2003

A primary goal in modelling the dynamics of implied volatility surfaces (IVS) aims at reducing complexity. For this …, neglects the degenerated string structure of the implied volatility data and may result in a severe modelling bias. We propose … value at risk computations and scenario analysis. -- Implied Volatility Surface ; Smile ; Generalized Additive Models …

Persistent link: https://www.econbiz.de/10009663844

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...

Persistent link: https://www.econbiz.de/10009578029

On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

It has long been recognized that aggregating time series introduces correlation between consecutive values of the aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables assuming that the data generating process involves...

Persistent link: https://www.econbiz.de/10009620772

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

Fractional cointegration and real exchange rates

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

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency....

Persistent link: https://www.econbiz.de/10009612024

Semiparametric estimation and prediction for time series cross sectional data

Bunke, Olaf - 1998

This paper discusses a methodology which uses time series cross sectional datafor the estimation of a time dependent regression function depending on explanatory variables and for the prediction of values of the dependent variable. The methodology assumes independent observations and is based on...

Persistent link: https://www.econbiz.de/10009578017

1
2
3
4
5
6
7
8
9
10
Next
Last