This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This paper studies nonlinear cointegration models in which the structural coefficients may evolve smoothly over time. These time-varying coefficient functions are well-suited to many practical applications and can be estimated conveniently by nonparametric kernel methods. It is shown that the...

This article explores whether there were a long-term equilibrium relationship between industrial production and capital goods and raw material being imported to Colombia from January 1993 to April 2005. Such relationship was determined from a seasonal co-integration model; the resulting model...

We consider the Fractional Vector Error Correction model proposed in Avarucci (2007), which is characterized by a richer lag structure than the models proposed in Granger (1986) and Johansen (2008, 2009). In particular, we discuss the properties of the model of Avarucci (2007) (FECM) in...

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle based procedures requires a priori knowledge of the...

In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters...