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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...
Persistent link: https://www.econbiz.de/10011512994
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Inflation/unemployment regimes and the instability of the Phillips curve
Ormerod, Paul; Rosewell, Bridget; Phelps, Peter - 2009
Using the statistical technique of fuzzy clustering, regimes of inflation and unemployment are explored for the United … inflation/unemployment space. There is considerable similarity across the countries in both the regimes themselves and in the … timings of the transitions between regimes. However, the typical rates of inflation and unemployment experienced in the …
Persistent link: https://www.econbiz.de/10010299186
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Relative Preise, gesamtwirtschaftliche Aktivität und Strukturwandel
Gahlen, Bernhard - 1987
Persistent link: https://www.econbiz.de/10000087250
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Inflation/unemployment regimes and the instability of the Phillips curve
Ormerod, Paul; Rosewell, Bridget; Phelps, Peter - 2009
Using the statistical technique of fuzzy clustering, regimes of inflation and unemployment are explored for the United … inflation/unemployment space. There is considerable similarity across the countries in both the regimes themselves and in the … timings of the transitions between regimes. However, the typical rates of inflation and unemployment experienced in the …
Persistent link: https://www.econbiz.de/10003883795
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Inflation/unemployment regimes and the instability of the Phillips curve
Ormerod, Paul; Rosewell, B.; Phelps, P. - In: Applied economics 45 (2013) 10/12, pp. 1519-1531
Persistent link: https://www.econbiz.de/10009718364
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Relative Preise und Strukturwandel bei Inflation
Gahlen, Bernhard - In: IFO-Studien : Zeitschrift für empirische … 34 (1988) 1, pp. 1-42
Persistent link: https://www.econbiz.de/10001054629
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Long-run causality and structural change : an application of P-Star analysis to the UK's entry into the ERM
Beeby, Michael; Hall, Stephen G.; Funke, Michael - 1995
Persistent link: https://www.econbiz.de/10000912563
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Inflation/Unemployment Regimes and the Instability of the Phillips Curve
Ormerod, Paul - 2010
Using the statistical technique of fuzzy clustering, regimes of inflation and unemployment are explored for the United … inflation/unemployment space. There is considerable similarity across the countries in both the regimes themselves and in the … timings of the transitions between regimes. However, the typical rates of inflation and unemployment experienced in the …
Persistent link: https://www.econbiz.de/10013135078
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Long memory in German energy price indices
Barros, Carlos Pestana; Caporale, Guglielmo Maria; … - 2012
This study examines the long-memory properties of German energy price indices (specifically, import and export prices, as well as producer and consumer prices) for hard coal, lignite, mineral oil and natural gas adopting a fractional integration modelling framework. The analysis is undertaken...
Persistent link: https://www.econbiz.de/10010288234
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Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010442584