Narrow search
Showing 1 - 10 of 168
Cover Image
Volatility of a Market Index and its Components: An Application to Commodity Markets
WATKINS, Clinton; McALEER, Michael - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345409
Cover Image
Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?
Andraz, Jorge; Norte, Nélia - Centro de Estudos e Formação Avançada em Gestão e … - 2013
associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount …
Persistent link: https://www.econbiz.de/10010699750
Cover Image
Macroeconomic Volatility and Physical Capital Accumulation in Sub-Saharan Africa
Awounang, Arthur Chopkeng; Foning, Maxime Niee - In: International Journal of Economic Sciences 2014 (2014) 2, pp. 01-19
The aim of this work is to study the influence of macroeconomic volatility on physical capital accumulation in Sub … measures of volatility are obtained after estimating a GARCH (Generalized autoregressive conditional heteroskedasticity) model … stock per capita of 0.0002 percentage point. And (3), there is no significant effect from the volatility of terms of trade …
Persistent link: https://www.econbiz.de/10011195085
Cover Image
Temporal aggregaton of univariate linear time series models
Andrea, SILVESTRINI - Institut de Recherche Économique et Sociale (IRES), … - 2005
In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...
Persistent link: https://www.econbiz.de/10004984769
Cover Image
Temporal aggregation of univariate linear time series models
SILVESTRINI, Andrea; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2005
In this paper we feature state-of-the-art econometric methodology of temporal aggregation for univariate linear time series, namely ARIMA-GARCH models. We present a unified overview of temporal aggregation techniques for this broad class of processes and we explain in detail, although...
Persistent link: https://www.econbiz.de/10005065424
Cover Image
Temporal aggregation of univariate and multivariate time series models: A survey
Silvestrini, Andrea; Veredas, David - Banca d'Italia - 2008
We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.
Persistent link: https://www.econbiz.de/10005609326
Cover Image
Contemporaneous aggregation of GARCH processes
Zaffaroni, Paolo - London School of Economics (LSE) - 2000
volatility model, uncorrelation in the levels but autocorrelation in the squares, when the rescaled innovation is common across …
Persistent link: https://www.econbiz.de/10010746556
Cover Image
Contemporaneous aggregation of GARCH processes
Zaffaroni, Paolo - Banca d'Italia - 2002
In this paper we study the effect of contemporaneous aggregation of heterogeneous GARCH processes as the cross-sectional size diverges to infinity. A complete statistical characterization of the limit aggregate is provided under general assumptions on the form and degree of heterogeneity of the...
Persistent link: https://www.econbiz.de/10005113626
Cover Image
Speculation, Returns, Volume and Volatility in Commodities Futures Markets
Bastianin, Andrea; Manera, Matteo; Nicolini, Marcella; … - In: Review of Environment, Energy and Economics - Re3 (2012) January
Our study contributes to the literature in two directions. First, we investigate the behaviour of futures prices returns for different energy and agricultural commodities, over the period 1986-2010. Second, we measure the market vulnerability to financial speculation for energy commodities over...
Persistent link: https://www.econbiz.de/10010535490
Cover Image
Are economic growth and the variability of the business cycle related ? Evidence from five European countries
Fountas, Stilianos; Karanasos, Menelaos - 2008
We use a long series of annual data that span over 100 years to examine the relationship between output growth and its uncertainty in five European countries. Using the GARCH methodology to proxy uncertainty, we obtain two important results. First, more uncertainty about output leads to a higher...
Persistent link: https://www.econbiz.de/10005481542