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Asymmetric long memory volatility in the PIIGS economies
Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) 1, pp. 23-43
class of models (namely, ARFIMA (p,d′,q)‐GARCH (1,1), IGARCH (1,1), FIGARCH (1,d,0), FIGARCH (1,d,1), EGARCH (1,1) and … paper utilizes the wavelets approach (based on Haar, Daubechies‐4, Daubechies‐12 and Daubechies‐20 wavelets) and the GARCH … support the Taylor effect in the volatility proxies. The results show that ARFIMA (p,d′,q)‐FIGARCH (1,d,0) model specification …
Persistent link: https://www.econbiz.de/10014989652
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Fractional Integration with Bloomfield Disturbances in the Specification of Real Output in the G7 Countries
Gil-Alana, Luis A - In: Topics in Macroeconomics 3 (2003) 1
The annual structure of real output in the G7 countries is investigated in this article by means of fractional integration techniques. However, instead of using the classical ARMA specifications for describing the short-run components of the series, we use an approach due to Bloomfield (1973)....
Persistent link: https://www.econbiz.de/10014588365
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Hysteresis in Unemployment Rates? A Comparison between Germany and the US
Hassler, Uwe; Wolters, Jürgen - In: Jahrbücher für Nationalökonomie und Statistik 229 (2009) 2-3, pp. 119-129
Summary In this paper we compare the unemployment dynamics of the US and Germany with monthly data up to 2008. With data from 1971 on the evidence is mixed when applying descriptive methods or formal unit root tests. When allowing for fractional integration, however, we find similar results to...
Persistent link: https://www.econbiz.de/10014609253
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Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors
Halbleib, Roxana; Voev, Valeri - In: Jahrbücher für Nationalökonomie und Statistik 231 (2011) 1, pp. 134-152
Summary This paper analyzes the forecast accuracy of the multivariate realized volatility model introduced by Chiriac and Voev (2010), subject to different degrees of model parametrization and economic evaluation criteria. Bymodelling the Cholesky factors of the covariance matrices, the model...
Persistent link: https://www.econbiz.de/10014609331
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4
By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing the...
Persistent link: https://www.econbiz.de/10014620822
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Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Tkacz, Greg - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 1
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper we instead use the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from...
Persistent link: https://www.econbiz.de/10014620839
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Inflation persistence and structural breaks
Canarella, Giorgio; Miller, Stephen M. - In: Journal of Economic Studies 43 (2016) 6, pp. 980-1005
Purpose The purpose of this paper is to report on a sequential three-stage analysis of inflation persistence using monthly data from 11 inflation targeting (IT) countries and, for comparison, the USA, a non-IT country with a history of credible monetary policy. Design/methodology/approach First,...
Persistent link: https://www.econbiz.de/10014864574
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Market Definition of Long Distance Transportation Market in Japan: An Event Study Approach
Mizuno, Tomomichi; Hanabusa, Kunihiro - In: Asian Journal of Law and Economics 2 (2011) 2
heteroskedasticity (GARCH) for an event study, we examine the impact of the attacks on Japanese airline and high-speed railway industries …
Persistent link: https://www.econbiz.de/10014585286
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Transitory and Permanent Volatility Components: The Case of the Middle East Stock Markets
Zarour, Bashar Abu; Siriopoulos, Costas P - In: Review of Middle East Economics and Finance 4 (2008) 2, pp. 80-92
Recent research has suggested that returns volatility may contain both short-run and long-run components due to the existence of heterogeneous information flows or heterogeneous agents (Andersen and Bollerslev 1997a, 1997b; Müller et al., 1997). This paper investigates the existence of such...
Persistent link: https://www.econbiz.de/10014618759
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Smooth-Transition GARCH Models
González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …
Persistent link: https://www.econbiz.de/10014620812