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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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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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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …
Persistent link: https://www.econbiz.de/10010296287
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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert - 2009
Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...
Persistent link: https://www.econbiz.de/10010301713
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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
Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...
Persistent link: https://www.econbiz.de/10010324663
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Detecting Serial Dependence in Tail Events
Diks, Cees - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10010324850
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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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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double- indexed process is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross section dimension (N) converges to its expectation in...
Persistent link: https://www.econbiz.de/10011605146