This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical...

The current economic crisis requires fast information to predict economic behavior early, which is difficult at times of structural changes. This paper suggests an innovative new method of using data on internet activity for that purpose. It demonstrates strong correlations between keyword...

We propose a class of simple rank-based tests for the null hypothesis of a unit root. This class is indexed by the choice of a reference density g, which needs not coincide with the unknown actual innovation density f. The validity of these tests, in terms of exact finite sample size, is...

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid that the long memory property of volatility carries over to...

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...

The time-series approach used in the minimum wage literature essentially aims to estimate a treatment effect of increasing the minimum wage. In this paper, we employ a novel approach based on aggregate time-series data that allows us to determine if minimum wage changes have significant effects...

This paper proves consistency and asymptotic normality for the conditional-sum-of-squares (CSS) estimator in fractional time series models. The models are parametric and quite general. The novelty of the consistency result is that it applies to an arbitrarily large set of admissible parameter...

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

We consider the nonstationary fractional model dXt = "t with "t i.i.d.(0;2) and d 1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the initial values for the bias....