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Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 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/10010286312

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010292668

Restrictions search for panel VARs

Schnücker, Annika - 2016

As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The present paper uses a selection prior for a data-based...

Persistent link: https://www.econbiz.de/10011560378

Bayesian structural VAR models: A new approach for prior beliefs on impulse responses

Bruns, Martin; Piffer, Michele - 2019

Structural VAR models are frequently identified using sign restrictions on contemporaneous impulse responses. We develop a methodology that can handle a set of prior distributions that is much larger than the one currently allowed for by traditional methods. We then develop an importance sampler...

Persistent link: https://www.econbiz.de/10011994106

Climate change and modelling of extreme temperatures in Switzerland

Siliverstovs, Boriss; Ötsch, Rainald; Kemfert, Claudia; … - 2008

This study models maximum temperatures in Switzerland monitored in twelve locations using the Generalised Extreme Value (GEV) distribution. The parameters of the GEV distribution are determined within a Bayesian framework. We find that the parameters of the underlying distribution underwent a...

Persistent link: https://www.econbiz.de/10010271075

Partial identification of heteroskedastic structural VARs: Theory and Bayesian inference

Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024

We consider structural vector autoregressions identified through stochastic volatility. Our focus is on whether a particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions. Three contributions emerge from our exercise: (i) a set...

Persistent link: https://www.econbiz.de/10014530293

Assessing identifying restrictions in SVAR models

Piffer, Michele - 2016

This paper proposes a Bayesian approach to assess if the data support candidate set-identifying restrictions for Vector Autoregressive models. The researcher is uncertain about the validity of some sign restrictions that she is contemplating to use. She therefore expresses her uncertainty with a...

Persistent link: https://www.econbiz.de/10011449879

Active, or passive? Revisiting the role of fiscal policy in the great inflation

Ettmeier, Stephanie; Kriwoluzky, Alexander - 2020

We reexamine whether pre-Volcker U.S. fiscal policy was active or passive. To do so, we estimate a DSGE model with monetary and fiscal policy interactions employing a sequential Monte Carlo algorithm (SMC) for posterior evaluation. Unlike existing studies, we do not have to treat each policy...

Persistent link: https://www.econbiz.de/10012226741

No taxation without reallocation: The distributional effects of tax changes

Ettmeier, Stephanie - 2022

This paper investigates the dynamic effects of tax changes on the cross-sectional distribution of disposable income in the United States using a narrative identification approach. I distinguish between changes in personal and corporate income taxes and quantify the distributional effects on...

Persistent link: https://www.econbiz.de/10013441522

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

In order to identify structural shocks that affect economic variables, restrictions need to be imposed on the parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However, only over-identifying restrictions can be tested with...

Persistent link: https://www.econbiz.de/10011776508

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