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Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

Persistent link: https://www.econbiz.de/10003979849

Economic growth and the volatility of foreing aid

Chervin, Michal; Wijnbergen, Sweder van - 2010

Persistent link: https://www.econbiz.de/10003934116

The role of the United States in the global economy and its evolution over time

Dées, Stéphane; Saint-Guilhem, Arthur - 2009

to the rest of the world tends to fluctuate over time but remains large overall. Second, although the size of the … more persistent. Actually, the increasing economic integration at the world level is likely to have fostered second …

Persistent link: https://www.econbiz.de/10003832378

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010366935

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010

countryspecific foreign output variable to capture direct inter-country linkages. In accord with the theory all variables are measured … restrictions implied by the NK theory. The multi-country DSGE NK model is then solved to provide estimates of identified supply …