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McAleer, Michael; Hafner, Christian M. - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10010362978

On the invertibility of EGARCH

Martinet, Guillaume Gaetan; McAleer, Michael - 2014

parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …

Persistent link: https://www.econbiz.de/10010384390

On the invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015

parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable …

Persistent link: https://www.econbiz.de/10010477092

Forecasting with a mismatch-enhanced labor market matching function

Hutter, Christian; Weber, Enzo - 2014

This paper investigates the role of mismatch between job seekers and job openings for the forecasting performance of a labor market matching function. In theory, higher mismatch lowers matching efficiency which increases the risk that the vacancies cannot be filled within the usual period of...

Persistent link: https://www.econbiz.de/10010401765

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97

parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …

Persistent link: https://www.econbiz.de/10010392823

Testing multiple non-nested factor demand systems

Manera, Matteo (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

Empirical factor demand analysis typically involves making a choice from among several competing non-nested functional forms. Each of the commonly used factor demand systems, such as Translog, Generalized Leontief, Quadratic, and Generalized McFadden, can provide a valid and useful empirical...

Persistent link: https://www.econbiz.de/10001644112

Realized Volatility Risk

Allen, David E. - 2010

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10013149893

What happened to the transatlantic capital market relations?

Weber, Enzo (contributor) - 2007

This paper investigates the capital market relations between Euroland and the USA from 1990 until 2006. Formally based on the uncovered interest rate parity (UIP), backward recursive estimations establish a long-run equilibrium between European and US government bond yields. Since the mid-1990s...

Persistent link: https://www.econbiz.de/10003633549

Who leads financial markets?

Weber, Enzo (contributor) - 2007

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Considering influences on financial market volatility, the estimations are carried out in multivariate EGARCH models using...

Persistent link: https://www.econbiz.de/10003633556

Simultaneous causality in international trade

Weber, Enzo (contributor) - 2007

This paper proposes estimating causalities in bilateral international trade in simultaneous systems, including domestic and foreign GDP as well as mutual trade flows. Conventional macroeconomic theory mainly follows partial approaches like import functions or exportled growth. Focusing on the US...

Persistent link: https://www.econbiz.de/10003633581