Similar Search Results

Why a diversified portfolio should include African assets

Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010

We employ parametric and non-parametric cointegration to investigate the extent of integration between African stock … markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct … cointegration approaches confirm the latter through recursive estimation. The implication is that global market movements may have …

Persistent link: https://www.econbiz.de/10010273679

Did Us Consumers "Save for a Rainy Day" Before the Great Recession?

Anundsen, André K.; Nymoen, Ragnar - 2015

The 'saving for a rainy day' hypothesis implies that households' saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...

Persistent link: https://www.econbiz.de/10012143864

Detecting Imbalances in House Prices: What Goes up Must Come Down?

Anundsen, André K. - 2016

With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....

Persistent link: https://www.econbiz.de/10012143889

Consistent pretesting for jumps

Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

Persistent link: https://www.econbiz.de/10011396835

Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman; Urbach, Richard - 2013

In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...

Persistent link: https://www.econbiz.de/10010334249

A Test for Comparing Multiple Misspecified Conditional Distributions

Corradi, Valentina; Swanson, Norman R. - 2003

This paper introduces a conditional Kolmogorov test, in the spirit of Andrews (1997), that allows for comparison of multiple misspecifed conditional distribution models, for the case of dependent observations. A conditional confidence interval version of the test is also discussed. Model...

Persistent link: https://www.econbiz.de/10010263215

Regime Switches in Swedish Interest Rates

Erlandsson, Ulf - 2003

This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate volatility. A Monte Carlo testing procedure is used to arrive at a three state specification that is able to capture the high degree of leptokurtosis in the data without additional...

Persistent link: https://www.econbiz.de/10013208431

Modelling Returns in US Housing Prices – You're the One for Me, Fat Tails

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - 2020

In this paper, we analyse the heavy-tailed behaviour in the dynamics of housing-price returns in the United States. We investigate the sources of heavy tails by estimating autoregressive models in which innovations can be subject to GARCH effects and/or non-Gaussianity. Using monthly data...

Persistent link: https://www.econbiz.de/10012654467

Nowcasting Norwegian household consumption with debit card transaction data

Aastveit, Knut Are; Fastbø, Tuva Marie; Granziera, Eleonora - 2020

We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly without delays, providing a valuable early...

Persistent link: https://www.econbiz.de/10012661565

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Tran, Minh-Ngoc - 2023

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models such as Generalized Autoregressive Conditional...

Persistent link: https://www.econbiz.de/10014331159

1
2
3
4
5
6
7
8
9
10
Next
Last