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Unit Root Tests in Time Series : Key Concepts and Problems
Patterson, Kerry - 2011
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing
Persistent link: https://www.econbiz.de/10012053904
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...
Persistent link: https://www.econbiz.de/10013126003
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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The Weekly Structure of US Stock Prices
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
In this paper we use fractional integration techniques to examine the degree of integration of four US stock market indices, namely the Standard and Poor, Dow Jones, Nasdaq and NYSE, at a daily frequency from January 2005 till December 2009. We analyse the weekly structure of the series and...
Persistent link: https://www.econbiz.de/10013316133
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Consumer Demand in the United States : Prices, Income, and Consumption Behavior
Taylor, Lester D. - 2010
Preliminaries -- and Overview -- Demand Theory Under Review -- Quantile Regression: A Robust Alternative to Least … the emerging connection between neuroscience and consumer behavior, integrating the economic literature on demand theory … resource for any researcher, student or professional economist working on consumer behavior or demand theory, as well as …
Persistent link: https://www.econbiz.de/10013521285
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Nichtlineare Zeitreihenanalyse als neue Methode für Eventstudien : eine empirische Studie am Beispiel der Ergebnismeldungen von NASDAQ-Unternehmen
Wagner, Waldemar - 2019
resultierenden Erkenntnisse liefern einen bedeutsamen Beitrag zur Untersuchung der Theorie Effizienter Märkte und bieten die …
Persistent link: https://www.econbiz.de/10012401680
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Long Memory in US Real Output per Capita
Caporale, Guglielmo Maria - 2009
This paper analyses the long memory properties of quarterly real output per capita in the US (1948Q1-2008Q3) using non-parametric, semi-parametric and parametric techniques. The results vary substantially depending on the methodology employed. Evidence of mean reversion is obtained in a...
Persistent link: https://www.econbiz.de/10013158457
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The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria - 2015
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across...
Persistent link: https://www.econbiz.de/10013019858
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André K. - 2015
The ‘saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10013022495