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Seasonality on non-linear price effects in scanner-data based market-response models

Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2005

and inference and we propose an estimation method using Bayesian techniques. An illustration to a market-response model …

Persistent link: https://www.econbiz.de/10010837954

A multi-level panel smooth transition autoregression for US sectoral production

van Dijk, Dick; Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

model, which imposes such common features, and a fully heterogeneous model, which might render estimation problems for some … transition functions with observable explanatory variables. We discuss representation, estimation by concentrated simulated …

Persistent link: https://www.econbiz.de/10010731909

Econometric Analysis of Financial Derivatives

Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2014

derivatives, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics …

Persistent link: https://www.econbiz.de/10011274352

A nonlinear long memory model for US unemployment

van Dijk, Dick; Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2000

Two important empirical features of monthly US unemployment are that shocks to the series seem rather persistent and that unemployment seems to rise faster in recessions than that it falls during expansions. To jointly capture these features of long memory and nonlinearity, respectively, we put...

Persistent link: https://www.econbiz.de/10010837757

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010837984

Flexible Seasonal Long Memory and Economic Time Series

Ooms, Marius - Faculteit der Economische Wetenschappen, Erasmus … - 1995

We discuss specification, frequency domain estimation and application of flexible fractionally integrated seasonal long … approximate ML estimation. We successfully apply a flexible model on post war US GNP data, which shows the statistical … graphical techniques to evaluate the estimation results in the frequency domain. …

Persistent link: https://www.econbiz.de/10010731741

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

Franses, Philip Hans; Ooms, Marius; Eisinga, Eisinga, R. - Faculteit der Economische Wetenschappen, Erasmus … - 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 …

Persistent link: https://www.econbiz.de/10010731848

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009

This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...

Persistent link: https://www.econbiz.de/10010732611

Testing price taking behavior

Appelbaum, Elie - In: Journal of econometrics 9 (1979) 3, pp. 283-294

Persistent link: https://www.econbiz.de/10001843041

Dynamics in the dry bulk market: Economic activity, trade flows, and safety in shipping

Heij, Heij, C.; Knapp, Knapp, S. - Faculteit der Economische Wetenschappen, Erasmus … - 2012

Recent dynamics in iron ore markets are driven by rapid changes in economic activities that affect commodity markets, trade flows, and shipping activities. Time series models for the relation between these variables in Southeast Asia and the Australasian region are supplemented with models for...

Persistent link: https://www.econbiz.de/10010731888