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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

Seasonal decomposition with a modified Hodrick-Prescott filter

Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010

I describe preliminary results for seasonal decomposition procedure using a modified Hodrick-Prescott (Leser) filter. The procedure is simpler to implement compared to two currently most popular seasonal decomposition procedures - X-11 filters developed by the U.S. Census Bureau and SEATS...

Persistent link: https://www.econbiz.de/10008540112

A new distribution-based test of self-similarity

Bianchi, Sergio - Volkswirtschaftliche Fakultät, … - 2004

In studying the scale invariance of an empirical time series a twofold problem arises: it is necessary to test the series for self-similarity and, once passed such a test, the goal becomes to estimate the parameter H0 of self-similarity. The estimation is therefore correct only if the sequence...

Persistent link: https://www.econbiz.de/10005037724

On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing

Luati, Alessandra; Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2008

The paper establishes the conditions under which the generalised least squares estimator of the regression parameters is equivalent to the weighted least squares estimator. The equivalence conditions have interesting applications in local polynomial regression and kernel smoothing. Specifically,...

Persistent link: https://www.econbiz.de/10005616805

The Variance Profile

Luati, Alessandra; Proietti, Tommaso; Reale, Marco - Volkswirtschaftliche Fakultät, … - 2011

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and non-decreasing function of the power parameter, p, which returns the minimum of the spectrum (p → −∞), the interpolation error variance (harmonic...

Persistent link: https://www.econbiz.de/10009001193

Modèls Garch à la mémoire longue: application aux taux de change tunisiens

Lahiani, Amine; Yousfi, Ouidad - Volkswirtschaftliche Fakultät, … - 2007

volatility impact. Then, we apply it on three Tunisian exchange rate series between 1994 and 2006. As Beine, Laurent and Lecourt …

Persistent link: https://www.econbiz.de/10008836445

Non Linear Moving-Average Conditional Heteroskedasticity

Ventosa-Santaulària, Daniel; Mendoza V., Alfonso - Volkswirtschaftliche Fakultät, … - 2005

conditional volatility through a non-linear moving average process. The NLMACH performance is investigated using a Monte Carlo …

Persistent link: https://www.econbiz.de/10011111670

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 … increases in volatility and the most notable variations of its intraday pattern occur at the end of the reserve maintenance … period and at the end of each quarter. The average effect on market volatility of Eurosystem money market operations and …

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

Does inequality affect the consumption patterns of the poor? – The role of “status seeking” behaviour

Marjit, Sugata; Santra, Sattwik; Hati, Koushik Kumar - Volkswirtschaftliche Fakultät, … - 2014

We consider a situation where the relatively ‘poor’ are concerned about their relative income status with respect to a relevant reference group. Such a concern is explicitly introduced in a utility function to study the consumption and saving behavior of the poor in terms of a static and...

Persistent link: https://www.econbiz.de/10011259208

Confidence sets for some partially identified parameters

Fan, Yanqin; Park, Sang Soo - Volkswirtschaftliche Fakultät, … - 2010

In this paper, we first re-visit the inference problem for interval identified parameters originally studied in Imbens and Manski (2004) and later extended in Stoye (2008). We take the general criterion function approach and establish a new confidence interval that is asymptotically valid under...

Persistent link: https://www.econbiz.de/10009652936

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