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Restatement of the I-O Coefficient Stability Problem
Dobrescu, Emilian - Institutul de Prognoza Economica, Institutul National … - 2013
The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A—matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients...
Persistent link: https://www.econbiz.de/10010678167
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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …
Persistent link: https://www.econbiz.de/10011114116
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A Multivariate Test Against Spurious Long Memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011196464
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Risk, Jumps, and Diversification
Bollerslev, Tim - 2008
We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic. Common jumps affect all stocks, albeit to varying...
Persistent link: https://www.econbiz.de/10012723947
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Realised Kernels in Practice : Trades and Quotes
Barndorff-Nielsen, Ole E. - 2008
Realised kernels use high frequency data to estimate daily volatility of individual stock prices. They can be applied …
Persistent link: https://www.econbiz.de/10012724249
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Firm Size and Volatility Analysis in the Spanish Stock Market
Chuliá, Helena - 2007
In this article, three strongly related questions are studied. First, volatility spillovers between large and small …-M covariance structure. Results show that there exist bidirectional volatility spillovers between both types of firms, especially … after bad news. Second, the volatility feedback hypothesis explaining the volatility asymmetry feature is investigated …
Persistent link: https://www.econbiz.de/10012730863
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Clarifications on the Asymmetric Volatility Effect and Foreign Investors' Destabilizing Influence : Agents' Information Perception
Bruckner, Robert - 2007
In this paper, the relation of asymmetric conditional volatility to market agents' information perception ability is … more pronounced during negative than positive news result in asymmetric volatility. The well known volatility feedback … investors' exposure to the German DAX to volatility levels in general and the asymmetry specifically is documented with high …
Persistent link: https://www.econbiz.de/10012731295
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Nonlinear Time Series Modelling : An Introduction
Potter, Simon - 2006
Recent developments in nonlinear time series modelling are reviewed. Three main types of nonlinear models are discussed: Markov Switching, Threshold Autoregression and Smooth Transition Autoregression. Classical and Bayesian estimation techniques are described for each model. Parametric tests...
Persistent link: https://www.econbiz.de/10012732803
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A Unifying View of Some Nonparametric Predictability Tests
Anatolyev, Stanislav - 2006
We show that many existing tests for time-series predictability are special cases of a general nonparametric test based on the OLS estimator of the slope coefficient in a bivariate linear regression of certain type. By manipulating the features of this regression one can construct numerous new...
Persistent link: https://www.econbiz.de/10012732916
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Predictive Regressions : Method of Least Autocorrelation
Zhu, John Qi - 2006
Conventional predictive regressions produce biased and inefficient coefficient estimates in small samples when the predicting variable is Gaussian first order persistent and its innovations are highly correlated with the error series of the return. We propose a new estimation method (the method...
Persistent link: https://www.econbiz.de/10012732927