Showing 1 - 9 of 9
fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the …
Persistent link: https://www.econbiz.de/10013014905
on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of …
Persistent link: https://www.econbiz.de/10013119071
period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of …
Persistent link: https://www.econbiz.de/10014135216
span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration …
Persistent link: https://www.econbiz.de/10012921881
In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...
Persistent link: https://www.econbiz.de/10013141038
. Fractional integration or I(d) models are estimated with a variety of specifications for the error term. In brief, we find … evidence that a lower degree of integration is associated with lower data frequencies. In particular, when the data are …
Persistent link: https://www.econbiz.de/10013082098
I(2) being rejected in favour of fractional integration -- shocks appear to have permanent effects, and therefore policy …
Persistent link: https://www.econbiz.de/10013051843
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-à-vis the main...
Persistent link: https://www.econbiz.de/10012928869
This paper estimates a reduced-form model to assess the credit risk of General Insurance (GI) non-life firms in the UK. Compared to earlier studies, it uses a much larger sample including 30 years of data for 515 firms, and also considers a much wider set of possible determinants of credit risk....
Persistent link: https://www.econbiz.de/10012987028