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Inefficiency in social security trust funds forecasts

Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021

We examine forecast accuracy and efficiency of the Social Security Administration's projections for cost rate, trust fund balance, trust fund ratio made during 1980-2020 with horizons up to 95 years. We find that the reported deterioration in the accuracy of the forecasts during 2010’s has...

Persistent link: https://www.econbiz.de/10012668902

A life-cycle theory analysis of french household electricity demand

Belaîd, Fateh; Rault, Christophe; Massié, Camille - 2021

This paper develops a pseudo-panel approach to examine household electricity demand behaviour through the household … evidence that the income elasticity of French residential electricity demand is 0.22, averaged over our four cohorts of … electricity consumption follows an inverted U-shaped distribution as a function of the age of the household's head. Most notably …

Persistent link: https://www.econbiz.de/10012415417

Forecasting regional industrial production with high-frequency electricity consumption data

Lehmann, Robert; Möhrle, Sascha - 2022

In this paper, we study the predictive power of electricity consumption data for regional economic activity. Using … unique weekly and monthly electricity consumption data for the second-largest German state, the Free State of Bavaria, we … that electricity consumption is the best performing indicator in the nowcasting setup and has higher accuracy than other …

Persistent link: https://www.econbiz.de/10013362425

Exponential time trends in a fractional integration model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper introduces a new modelling approach that incorporates nonlinear, exponential deterministic terms into a fractional integration model. The proposed model is based on a specific version of Robinson's (1994) tests and is more general that standard time series models, which only allow for...

Persistent link: https://www.econbiz.de/10014431268

Understanding unworked time in Spain

Rey del Castillo, Pilar - 2024

This paper explores the evolution of non-working time in Spain over recent years by analysing the results of two surveys conducted by the National Statistics Institute: the Quarterly Survey on Labor Costs and the Labor Force Survey. Using time series models and intervention analysis, potential...

Persistent link: https://www.econbiz.de/10015179218

Modelling profitability of private equity : a fractional integration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2022

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

Persistent link: https://www.econbiz.de/10013285647

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/10011903723

Is market fear persistent? : a long-memory analysis

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

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10011669019

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/10011619676

Extended Yule-Walker identification of Varma models with single- or mixed-frequency data

Zadrozny, Peter A. - 2016

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Persistent link: https://www.econbiz.de/10011459174