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Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
Hallerbach, Winfried G. - 2000
-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this … this autocorrelation component from theaveraged series. In addition we investigate thepotential effect of averaging on …
Persistent link: https://www.econbiz.de/10010324663
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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - 2001
mutual information is estimated using the correlation integral from chaos theory. The signi[tanceof the test statistics is …
Persistent link: https://www.econbiz.de/10010324976
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Do survey indicators let us see the business cycle? A frequency decomposition
Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008
This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …
Persistent link: https://www.econbiz.de/10011506652
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Latent variable analysis and partial correlation graphs for multivariate time series
Fried, Roland; Didelez, Vanessa - 2003
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …
Persistent link: https://www.econbiz.de/10010306285
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Why Are Asset Returns Predictable?
Lüders, Erik - 2002
Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...
Persistent link: https://www.econbiz.de/10010297953
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Finite sample of the Durbin-Watson test against fractionally integrated disturbances
Kleiber, Christian; Krämer, Walter - 2004
We consider the finite sample power of various tests against serial correlation in the disturbances of a linear …-power trap. Our results depend solely on the correlation structure and allow for fairly arbitrary nonlinearities. …
Persistent link: https://www.econbiz.de/10010306236
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Financial markets as a complex system: A short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - 2001
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10010301759
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10010324992
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The role of the log transformation in forecasting economic variables
Luetkepohl, Helmut; Xu, Fang - 2009
For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which conditions taking logs is beneficial for forecasting. Forecasts based on the...
Persistent link: https://www.econbiz.de/10010264593