Similar Search Results

Pesaran, Mohammad Hashem; Chudik, Alexander - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is … Pesaran (2003), an optimal aggregate function is derived, and the limiting behavior of the aggregation error is investigated … which 'observed' inflation persistence at the aggregate level is due to aggregation and/or common unobserved factors. Our …

Persistent link: https://www.econbiz.de/10010285540

Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012052773

Forecasting Euro area real GDP: optimal pooling of information

Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - 2008

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

Persistent link: https://www.econbiz.de/10010264416

Long Memory and Fractional Integration in High Frequency Data on the US Dollar

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013

temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series …

Persistent link: https://www.econbiz.de/10010293980

Central Bank Policy Rates: Are they Cointegrated?

Caporale, Guglielmo Maria; Carcel, Hector; Gil-Alana, … - 2017

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of...

Persistent link: https://www.econbiz.de/10011657110

Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2017

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory...

Persistent link: https://www.econbiz.de/10011657117

Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2017

This paper revisits the Fisher hypothesis by estimating fractional integration and cointegration models that are more general than the standard ones based on the classical I(0)/I(1) dichotomy. Two sets of results are obtained under the alternative assumptions of white noise and Bloomfield (1973)...

Persistent link: https://www.econbiz.de/10011657203

Persistence in the Russian Stock Market Volatility Indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

Persistent link: https://www.econbiz.de/10011931993

Long memory with Markov-Switching GARCH

Krämer, Walter - 2008

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...

Persistent link: https://www.econbiz.de/10010264309

Multi-Factor Gegenbauer processes and European inflation rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009

former country this applies both to the zero and the seasonal frequencies, in the case of Italy the nonstationarity comes …

Persistent link: https://www.econbiz.de/10010271959