With the development of real-time databases, N vintages are available for T observations instead of a single realization of the time series process. Although the use of panel unit root tests with the aim to gain in efficiency seems obvious, empirical and simulation results shown in this paper...

This paper proposes a mixed-frequency error-correction model in order to develop a regressionapproach for non-stationary variables sampled at different frequencies that are possiblycointegrated. We show that, at the model representation level, the choice of the timing betweenthe low-frequency...

We combine the issues of dealing with variables sampled at mixed frequencies and the use ofreal-time data. In particular, the repeated observations forecasting (ROF) analysis of Stark andCroushore (2002) is extended to an autoregressive distributed lag setting in which the regressorsmay be...

Using a reduced rank regression framework as well as information criteria we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...

First, we investigate the minimal order univariate representation of some well known n-dimensionalconditional volatility models. Even simple low order systems (e.g. a multivariate GARCH(0,1)) forthe joint behavior of several variables imply individual processes with a lot of persistence inthe...

First, we investigate the minimal univariate representation of some well known n dimensional conditional volatility models. Simple systems (e.g. a VEC(0,1)) for the joint behaviour of several variables imply individual processes with a lot of persistence in the form of long order lags. We show...

It is well known that cointegration between the level of two variables (labeled Y_{t} and y_{t} inthis paper) is a necessary condition to assess the empirical validity of a present-value model (PVand PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalentthat...

We propose an approach for checking the data admissibility of non-stationary multivariate time series models (VAR or VARMA) through that of their implied individual ARIMA specifications. In particular we show that the presence of different kinds of common cyclical features restrictions, leading...

In this paper we consider the hypothesis that particular short-run co-movements indicationg that shocks have similar responses might only exist for a particular regime and not for the whole sample. A two-step procedure is set up to test and estimate the multi-regime common cyclical feature. This...