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Long Memory and Data Frequency in Financial Markets

Caporale, Guglielmo Maria - 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/10012958457

Assessing Forecast Uncertainties in a VECX Model for Switzerland : An Exercise in Forecast Combination Across Models and Observation Windows

Assenmacher, Katrin - 2009

We investigate the effect of forecast uncertainty in a cointegrating vector error correction model for Switzerland …. Forecast uncertainty is evaluated in three different dimensions. First, we investigate the effect on forecasting performance of … whether using weighting schemes from the machine learning literature improves the average forecast. Compared to equal weights …

Persistent link: https://www.econbiz.de/10012766904

The EMBI in Latin America : Fractional Integration, Non-Linearities and Breaks

Caporale, Guglielmo Maria - 2015

This paper analyses the main statistical properties of the Emerging Market Bond Index (EMBI), namely long-range dependence or persistence, non-linearities, and structural breaks, in four Latin American countries (Argentina, Brazil, Mexico, Venezuela). For this purpose it uses a fractional...

Persistent link: https://www.econbiz.de/10013009842

Is Switzerland an Interest Rate Island after All? Time Series and Non-Linear Switching Regime Evidence

Feld, Lars P. - 2015

Has the “Swiss interest rate anomaly” persisted after the financial crisis? Regarding the hypothesis that the Swiss interest rate anomaly results from systemic risk anticipation, we discuss whether Switzerland remains an interest rate island in the wake of the financial crisis. We find...

Persistent link: https://www.econbiz.de/10013009844

Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP

Duarte, Pablo - 2014

Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

Persistent link: https://www.econbiz.de/10013059505

Fiscal Sustainability of the German Laender Time Series Evidence

Burret, Heiko - 2014

In this paper we analyze the sustainability of public finances in the states (Laender) of the Federal Republic of Germany using an unprecedentedly comprehensive fiscal dataset for the time period from 1950 to 2011 for West German Laender and 1991 to 2011 for East German Laender, respectively. In...

Persistent link: https://www.econbiz.de/10013047345

On the Persistence of UK Inflation : A Long-Range Dependence Approach

Caporale, Guglielmo Maria - 2018

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the...

Persistent link: https://www.econbiz.de/10012917992

Uncertainty Across Volatility Regimes

Angelini, Giovanni - 2018

We propose a new non-recursive identification scheme for uncertainty shocks, which exploits breaks in the unconditional volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in the empirical literature on uncertainty: (i) Does...

Persistent link: https://www.econbiz.de/10012927574

Trends and Cycles in Macro Series : The Case of US Real GDP

Caporale, Guglielmo Maria - 2018

In this paper we propose a new modelling framework for the analysis of macro series that includes both stochastic trends and stochastic cycles in addition to deterministic terms such as linear and non-linear trends. We examine four US macro series, namely annual and quarterly real GDP and GDP...

Persistent link: https://www.econbiz.de/10012930692

A Note on the Time Series Measure of Conservatism

Brauer, Sebastian - 2010

Asymmetric persistence of accounting income is often tested in a regression of changes in earnings on lagged changes in earnings, including an interaction term for negative changes (see Basu [1997] or Ball et al. [2009] for a recent overview). In this note we propose an alternative, but closely...

Persistent link: https://www.econbiz.de/10013147269