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Long memory, realized volatility and HAR models
Baillie, Richard; Calonaci, Fabio; Cho, Dooyeon; Rho, … - 2019
The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …
Persistent link: https://www.econbiz.de/10011964976
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Financial Implications of the EU Emission Trading System : an analysis of wavelet coherence and volatility spillovers
De Ponti, Pietro; Romagnoli, Matteo - 2022
volatilities, we first discuss the evolution of the volatility of EU ETS allowances' returns from 2008 to 2021. Second, we study … the degree of co-movement and interdependence between the EU ETS returns' volatility and those of 37 large companies in … industries subject to the System; to this end, we employWavelet Coherence and Volatility Spillovers Analyses. Despite spotting …
Persistent link: https://www.econbiz.de/10013361266
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Weak identification of long memory with implications for inference
Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542193
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Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008669344
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Integrated ARCH, FIGARCH and AR models : origins of long memory
Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...
Persistent link: https://www.econbiz.de/10011405303
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Semiparametric detection of changes in long range dependence
Iacone, Fabrizio; Lazarová, Stěpána - 2017
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...
Persistent link: https://www.econbiz.de/10011756088
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ICT, clusters and regional cohesion : a summary of theoretical and empirical research
Maignan, Carole; Pinelli, Dino; Ottaviano, Gianmarco I. P. - 2003
The question of the spatial impacts of the Information and Communication Technology (ICT) has animated the intellectual and policy debate for a long time. At the beginning of the 1990s the rise of the Internet brought a new surge of debate: it was argued that the Internet would free the economy...
Persistent link: https://www.econbiz.de/10011591412
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On the economic determinants of oil production : theoretical analysis and empirical evidence for small exporting countries
Cologni, Alessandro; Manera, Matteo - 2011
In this paper, decisions regarding production in oil exporting countries are studied by means of theoretical analysis and empirical investigation. Under the assumptions of exogenous oil prices and world oil demand, we are able to describe the relationship between oil production levels and...
Persistent link: https://www.econbiz.de/10009231652
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A Hodrick-Prescott filter with automatically selected jumps
Maranzano, Paolo; Pelagatti, Matteo - 2024
The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 pandemic, and the war in Ukraine, that have had...
Persistent link: https://www.econbiz.de/10014578421
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Monetary integration in the Southern Cone : Mercosur is not like the EU? Ansgar Belke and Daniel Gros
Belke, Ansgar; Gros, Daniel - 2002
Persistent link: https://www.econbiz.de/10001705334