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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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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 regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...
Persistent link: https://www.econbiz.de/10010306236
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Can we make money with fifth-order autocorrelation in Japanese stock prices?
Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005
We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …
Persistent link: https://www.econbiz.de/10010332467
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On mean reversion in real interest rates: An application of threshold cointegration
Jumah, Adusei; Kunst, Robert M. - 2002
Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....
Persistent link: https://www.econbiz.de/10010292774
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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - 2001
We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...
Persistent link: https://www.econbiz.de/10010324976
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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
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Testing for long memory against ESTAR nonlinearities
Kuswanto, Heri; Sibbertsen, Philipp - 2009
We develop a Wald type test to distinguish between long memory and ESTAR nonlinearity by using a directed-Wald statistic to overcome the problem of restricted parameters under the alternative. The test is derived from two basic model specifications where the first is the standard model based on...
Persistent link: https://www.econbiz.de/10010270049
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Identification problems in ESTAR models and a new model
Donauer, Stefanie; Heinen, Florian; Sibbertsen, Philipp - 2010
In ESTAR models it is usually difficult to determine parameter estimates, as it can be observed in the literature. We show that the phenomena of getting strongly biased estimators is a consequence of the so-called identification problem, the problem of properly distinguishing the transition...
Persistent link: https://www.econbiz.de/10010270399