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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin - 2010

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

Persistent link: https://www.econbiz.de/10013147805

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

Persistent link: https://www.econbiz.de/10011376640

Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

Persistent link: https://www.econbiz.de/10011350381

Periodic unobserved cycles in seasonal time series with an application to US unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic unobserved components time series models with stochastic trend, seasonal and cycle components. Convenient state space formulations are introduced for exact maximum likelihood...

Persistent link: https://www.econbiz.de/10011350384

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10011346480

Convergence in European GDP series

Luginbuhl, Rob; Koopman, Siem Jan - 2003

Convergence in gross domestic product series of five European countriesis empirically identified using multivariate time series models that arebased on unobserved components with dynamic converging properties.We define convergence in terms of a decrease in dispersion over timeand model this...

Persistent link: https://www.econbiz.de/10011333256

Measuring synchronisation and convergence of business cycles

Koopman, Siem Jan; Azevedo, João Valle e - 2003

This paper investigates business cycle relations among different economies in theEuro area. Cyclical dynamics are explicitly modelled as part of a time series model. Weintroduce mechanisms that allow for increasing or diminishing phase shifts and for time-varyingassociation patterns in different...

Persistent link: https://www.econbiz.de/10011333890

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

Model-Based Business Cycle and Financial Cycle Decomposition for Europe and the U.S

Koopman, Siem Jan - 2016

Persistent link: https://www.econbiz.de/10012987118

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