Similar Search Results

Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10011261127

Forecasting Stock Market Volatility: A Forecast Combination Approach

Nazarian, Rafik; Gandali Alikhani, Nadiya; Naderi, Esmaeil - Volkswirtschaftliche Fakultät, … - 2013

Recently, with the development of financial markets and due to the importance of these markets and their close relationship with other macroeconomic variables, using advanced mathematical models with complicated structures for forecasting these markets has become very popular. Besides, neural...

Persistent link: https://www.econbiz.de/10011112434

Asymptotic theory for partly linear models

Gao, Jiti - Volkswirtschaftliche Fakultät, … - 1994

This paper considers a partially linear model of the form y = x beta + g(t) + e, where beta is an unknown parameter vector, g(.) is an unknown function, and e is an error term. Based on a nonparametric estimate of g(.), the parameter beta is estimated by a semiparametric weighted least squares...

Persistent link: https://www.econbiz.de/10011112439

Structural Stability of the Generalized Taylor Rule

Barnett, William A.; Duzhak, Evgeniya A. - Volkswirtschaftliche Fakultät, … - 2014

This paper analyzes the dynamical properties of monetary models with regime switching. We start with the analysis of the evolution of inflation when policy is guided by a simple monetary rule where coefficients switch with the policy regime. We rule out the possibility of a Hopf bifurcation and...

Persistent link: https://www.econbiz.de/10011112716

Identification, Estimation and Specification in a Class of Semi-Linear Time Series Models

Gao, Jiti - Volkswirtschaftliche Fakultät, … - 2012

In this paper, we consider some identification, estimation and specification problems in a class of semi-linear time series models. Existing studies for the stationary time series case have been reviewed and discussed. We also establish some new results for the integrated time series case. In...

Persistent link: https://www.econbiz.de/10011112804

Bandwidth selection for continuous-time Markov processes

Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009

only ensures consistency of the infinitesimal variance estimator, not of the drift estimator. Additionally, the procedure … does not guarantee that the rate conditions for asymptotic normality of the infinitesimal variance estimator are satisfied … case, for instance, for stochastic volatility modelling by virtue of preliminary high-frequency spot variance estimates …

Persistent link: https://www.econbiz.de/10011113065

Volatility and liquidity in the Italian money market

Palombini, Edgardo - Volkswirtschaftliche Fakultät, … - 2003

This paper constructs unbiased and model-free measures of daily and hourly volatility of the overnight interest rate negotiated on the Italian interbank deposits market (e-MID) using high-frequency transaction data. We find that the largest increases in volatility and the most notable variations...

Persistent link: https://www.econbiz.de/10011114089

Does causality technique matter to savings-growth nexus in Malaysia?

Tang, Chor Foon - Volkswirtschaftliche Fakultät, … - 2009

The intention of this study was to investigate whether the causal inference between savings and economic growth in Malaysia is sensitive to the particular causality tests employed to ascertain the causal relationship. This study covered quarterly data from 1991:Q1 to 2006:Q3. The results...

Persistent link: https://www.econbiz.de/10011114503

An Infinite Hidden Markov Model for Short-term Interest Rates

Maheu, John M; Yang, Qiao - Volkswirtschaftliche Fakultät, … - 2015

The time-series dynamics of short-term interest rates are important as they are a key input into pricing models of the term structure of interest rates. In this paper we extend popular discrete time short-rate models to include Markov switching of infinite dimension. This is a Bayesian...

Persistent link: https://www.econbiz.de/10011185700

Portuguese Women in Science and Technology (S&T): Some Gender Features Behind MSc. and PhD. Achievement

Chagas Lopes, Margarida - Volkswirtschaftliche Fakultät, … - 2006

Portuguese Women in S&T - Abstract Most research based upon institutional data has been dealing with the situation of Portuguese women in Science and Technology as if it would be a homogeneous set. Quite the opposite, whilst women in science are performing increasingly better than men since the...

Persistent link: https://www.econbiz.de/10008727914