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Forecasting Volatility with Copula-Based Time Series Models
Sokolinskiy, Oleg; Dijk, Dick van - Tinbergen Institute - 2011
This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and long-memory type behavior in a flexible yet parsimonious...
Persistent link: https://www.econbiz.de/10009293998
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10005137234
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Long Memory and Level Shifts: Re-Analyzing Inflation Rates
Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - Tinbergen Institute - 1998
<p>A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long … such level shifts are not unlikely for inflation, where the shifts may be caused by sudden oil price shocks, we examine … whether evidence for long memory (indicated by the relevance of an ARFIMA model) in G7 inflation rates is spurious or …
Persistent link: https://www.econbiz.de/10005209483
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Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series
Koopman, Siem Jan; Lee, Kai Ming - Tinbergen Institute - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10005137023
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Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...
Persistent link: https://www.econbiz.de/10005137026
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Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series
Koopman, Siem Jan; Wong, Soon Yip - Tinbergen Institute - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10005137378
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Global Stochastic Properties of Dynamic Models and their Linear Approximations
Babus, Ana; Vries, Casper G. de - Tinbergen Institute - 2010
The dynamic properties of micro based stochastic macro models are often analyzed through a linearization around the associated deterministic steady state. Recent literature has investigated the error made by such a deterministic approximation. Complementary to this literature we investigate how...
Persistent link: https://www.econbiz.de/10008838589
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - Tinbergen Institute - 2002
concerned with the modelling and forecasting of two U.S. macroeconomic time series: inflation and industrial production. …
Persistent link: https://www.econbiz.de/10005209436
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Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis
Anglingkusumo, Reza - Tinbergen Institute - 2005
crisis is empirically examined. The standard model for the monetary analysis of inflation, i.e. the P-Star model by Hallman … long run dynamics of CPI inflation in Indonesia remarkably weIl. Hence, there is an empirical support for the assertion …
Persistent link: https://www.econbiz.de/10005144495
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Regional Price Adjustment in a Monetary Union
Berk, Jan Marc; Swank, Job - Tinbergen Institute - 2002
, notwithstanding that inflation in some countries tends to converge towards the euro area level. Overa11, inflation persistence has …
Persistent link: https://www.econbiz.de/10005504932