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Long Memory Dynamics for Multivariate Dependence under Heavy Tails

Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2011

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated … volatility and dependence measures. The forecast accuracy is overall higher compared to those from some well-known competing …

Persistent link: https://www.econbiz.de/10009386532

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Institute - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10005144404

A General Framework for Observation Driven Time-Varying Parameter Models

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008

We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...

Persistent link: https://www.econbiz.de/10005209514

Capital-Energy Substitution and Shifts in Factor Demand: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Institute - 2006

This paper presents results of a meta-regression analysis on empirical estimates of capital-energy substitution. Theoretically it is clear that a distinction should be made between Morishima substitution elasticities and cross-price elasticities. The former represent purely technical...

Persistent link: https://www.econbiz.de/10005144446

Which Brands gain Share from which Brands? Inference from Store-Level Scanner Data

Oest, Rutger van; Franses, Philip Hans - Tinbergen Institute - 2003

Market share models for weekly store-level data are useful to understand competitive structures by delivering own and cross price elasticities. These models can however not be used to examine which brands lose share to which brands during a specific period of time. It is for this purpose that we...

Persistent link: https://www.econbiz.de/10005137001

The Impact of Uncertainty on Investment: A Meta-Analysis

Koetse, Mark J.; Groot, Henri L.F. de; Florax, Raymond … - Tinbergen Institute - 2006

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since the outcomes of primary studies are largely incomparable with respect to the magnitude of the effect, our analysis focuses on the direction and statistical significance of the...

Persistent link: https://www.econbiz.de/10005137096

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010

time-varying covariance matrix of the multivariate Student's <I>t</I> distribution. The key novelty of our proposed model …

Persistent link: https://www.econbiz.de/10008838568

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - Tinbergen Institute - 2000

Most of the available monthly interest data series consist of monthly averages of daily observations. It is well- known that this averaging introduces spurious autocorrelation effects in the first differences of the series. It is exactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10005209446

Outlier Detection in GARCH Models

Doornik, Jurgen A.; Ooms, Marius - Tinbergen Institute - 2005

presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests …

Persistent link: https://www.econbiz.de/10005144394

Level-Slope-Curvature - Fact or Artefact?

Lord, Roger; Pelsser, Antoon - Tinbergen Institute - 2005

conditions have the nice interpretation of restricting the level, slope and curvature of the correlation surface. It is proven … that the Schoenmakers-Coffey correlation matrix also brings along such factors. Finally, we formulate and corroborate our … conjecture that the order present in correlation matrices causes slope. …

Persistent link: https://www.econbiz.de/10005144421