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For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-moving average (ARIMA hereafter) models....
Persistent link: https://www.econbiz.de/10005443621
The high value of the implicit option to choose a retirement date at which interest rates are particularly high and life annuities relatively cheap, leads to the possibility to introduce regret aversion in the retirement investment decision of defined contribution plan participants. As a remedy...
Persistent link: https://www.econbiz.de/10005380695
This paper assesses the impact of G3 official central bank interventions on daily realized moments of DEM/USD exchange rate returns obtained from intraday data, 1989-2001. Event studies of the realized moments for the intervention day, the days preceding and following the intervention illustrate...
Persistent link: https://www.econbiz.de/10005403433
This note argues that large VAR models with common cyclical feature restrictions provide an attractive framework for parsimonious implied univariate final equations, justifying on the one hand the estimation of homogenous panels with dynamic heterogeneity and a common factor structure, and on...
Persistent link: https://www.econbiz.de/10011202037
Using a unique panel data of Dutch innovation and financial variables we empirically investigate how financing and innovation vary across firm characteristics. The study also tries to gauge the extent of market failure due to the presence of financing frictions. Our main findings can be...
Persistent link: https://www.econbiz.de/10010856360
Using a reduced rank regression framework as well as information criteria, we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...
Persistent link: https://www.econbiz.de/10010970326
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Persistent link: https://www.econbiz.de/10010934276
Using a reduced rank regression framework as well as information criteria, we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable...
Persistent link: https://www.econbiz.de/10010535109