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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

Persistent link: https://www.econbiz.de/10008570643

Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan

Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

Persistent link: https://www.econbiz.de/10008584711

A Note on the Effect of Seasonal Dummies on the Periodogram Regression

Ooms, M.; Hassler, U. - Erasmus University Rotterdam, Econometric Institute - 1996

We discuss how prior regression on seasonal dummies leads to singularities in periodogram regression procedures for the detection of long memory. We suggest a modified procedure. We illustrate the problems using monthly inflation data from Hassler and Wolters (1995).

Persistent link: https://www.econbiz.de/10004972178

Inflation rates; long-memoray, level shifts, or both?

Hyung, N.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2002

We examine if US inflation rates series can be characterized by a long-memory model, by a model with occasional level shifts or by a new model, which jointly captures the two features. Through simulations we show that this new model can be usefully applied in practice. For 23 inflation rate...

Persistent link: https://www.econbiz.de/10004972189

A seasonal periodic long memory model for monthly river flows

Ooms, M.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1998

Based on simple time series plots and periodic sample autocorrelations, we document that monthly river flow data display long memory, in addition to pronounced seasonality. In fact, it appears that the long memory characteristics vary with the season. To describe these two properties jointly, we...

Persistent link: https://www.econbiz.de/10004972195

Flexible Seasonal Long Memory and Economic Time Series

Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long memory time series models, which allow for 'chi-squared' (seasonal) unit root testing. We suggest periodogram regression and approximate ML estimation. We successfully apply a...

Persistent link: https://www.econbiz.de/10004972223

Structural breaks and long memory in US inflation rates: do they matter for forecasting?

Hyung, N.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2001

There is substantial evidence that several economic time series variables experience occasional structural breaks. At the same time, for some of these variables there is evidence of long memory. In particular, it seems that inflation rates have both features. One cause for this finding may be...

Persistent link: https://www.econbiz.de/10004972265

Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995

Eisinga, R.; Franses, Ph.H.B.F.; Ooms, M. - Erasmus University Rotterdam, Econometric Institute - 1997

-Theory- Two theories about trends in left-right political orientations are juxtaposed: the persistence theory claiming that left-right orientations are highly resistant to change versus the irrelevance theory anticipating a move of mass publics towards the center of the left-right continuum....

Persistent link: https://www.econbiz.de/10004972274

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, R.; Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts. …

Persistent link: https://www.econbiz.de/10008570627

Ten Things We Should Know About Time Series

McAleer, M.J.; Oxley, L. - Erasmus University Rotterdam, Econometric Institute - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008484072