Showing 1 - 10 of 349
This paper considers a moments based non-linear estimator that is root-T consistent and uniformly asymptotically normal irrespective of the degree of persistence of the forcing process. These properties hold for linear autoregressive models, linear predictive regressions, as well as certain...
Persistent link: https://www.econbiz.de/10009294897
A forecasting comparison is undertaken in which 49 univariate forecasting methods, plus various forecast pooling procedures, are used to forecast 215 U.S. monthly macroeconomic time series at three forecasting horizons over the period 1959 - 1996. All forecasts simulate real time implementation,...
Persistent link: https://www.econbiz.de/10005575252
This paper provides a survey of business cycle facts, updated to take account of recent data. Emphasis is given to the Great Recession which was unlike most other post-war recessions in the US in being driven by deleveraging and financial market factors. We document how recessions with financial...
Persistent link: https://www.econbiz.de/10010821736
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10008805023
In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange-rate risk. In addition, we derive an analytical formula for time-scale value at risk and marginal value at risk (VaR) of a portfolio. We apply our...
Persistent link: https://www.econbiz.de/10005089049
Adverse shocks to stock markets propagate across the world, with a jump in one region of the world seemingly causing an increase in the likelihood of a different jump in another region of the world. To capture this effect mathematically, we introduce a model for asset return dynamics with a...
Persistent link: https://www.econbiz.de/10008635904
How important is foreign diversification? In this paper, we re-examine this question motivated by findings from the literature about foreign companies that are listed on US exchanges. Specifically, domestic portfolios including cross-listed stocks can provide the same diversification as foreign...
Persistent link: https://www.econbiz.de/10010652305
This paper aims at investigating the relationship between employment and GDP in the United States. We disentangle trend and cyclical employment components by estimating a non-linear Okun's law based on a smooth transition error-correction model that simultaneously accounts for long-term...
Persistent link: https://www.econbiz.de/10010951214
We propose and illustrate a Markov-switching multi-fractal duration (MSMD) model for analysis of inter-trade durations in financial markets. We establish several of its key properties with emphasis on high persistence (indeed long memory). Empirical exploration suggests MSMD's superiority...
Persistent link: https://www.econbiz.de/10011271372
It has long been recognized that business cycle comovement is greater between countries that trade intensively with one another. Surprisingly, no one has previously examined the relationship between trade intensity and comovement of shocks to the trend level of output. Contrary to the result for...
Persistent link: https://www.econbiz.de/10011271375