realized volatility. The jump component has very different time series properties than the continuous component, and accounting … for this allows improved forecasting of future realized volatility. We investigate the potential forecasting role of … implied volatility backed out from option prices in the presence of these new separate realized volatility components. We show …

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional … cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson …-run dynamics. We derive the asymptotic distribution theory for the FDLS estimator of the cointegration vector in the stationary …

-ins for monetary union with respect to Germany. Using tests for cointegration and common features for monthly data during the …

between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …

for the years 1970 - 2004, we document how the volatility of hours worked and of wages of workers at different skill … volatility of employment, and this effect is strongest for low-skilled workers. A higher share of low-skilled employment has a … dampening impact. -- labor-market volatility ; skill levels ; financial globalization …