We consider changes in the degree of persistence of a process when the degree of persistence is characterized as the order of integration of a strongly dependent process. To avoid the risk of incorrectly specifing the data generating process we employ local Whittle estimates which uses only...

We develop non-parametric instrumental variable estimation and inferential theory for econometric models with possibly endogenous regressors whose coefficients can vary over time either deterministically or stochastically, and the time-varying and uniform versions of the standard Hausman...

This paper introduces and analyses a setting with general heterogeneity in regression modelling. It shows that regression models with fixed or time-varying parameters can be estimated by OLS or time-varying OLS methods, respectively, for a very wide class of regressors and noises, not covered by...

In the paper we test for the different reactions of stock markets to the current financial crisis. We focus on Central European stock markets, namely the Czech, Polish and Hungarian ones, and compare them to the German and U.S. benchmark stock markets. Using wavelet analysis, we decompose a time...

Assessing the extreme events is crucial in financial risk management. All risk managers and financial institutions want to know the risk of their portfolio under rare events scenarios. We illustrate a multivariate market risk estimating method which employs Monte Carlo simulations to estimate...

Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was postponed continuously and actions of European public authorities gave rise to speculations that...

In this paper, we contribute to the literature on international stock market comovement. The novelty of our approach lies in usage of wavelet tools to high-frequency financial market data, which allows us to understand the relationship between stock market returns in a different way. Major part...

This paper focuses on the extraction of volatility of financial returns. The volatility process is modeled as a superposition of two autoregressive processes which represent the more persistent factor and the quickly mean-reverting factor. As the volatility is not observable, the logarithm of...