Showing 1 - 10 of 17,256
We develop a generalized dynamic factor model for panel data with the goal of estimating an unobserved index. While … model also accounts for multiple subjects. It is therefore suitable to a panel data framework. Second, our model estimates a … applied on a panel measuring attributes related to the operation of water and sanitation utilities …
Persistent link: https://www.econbiz.de/10013088491
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …
Persistent link: https://www.econbiz.de/10011900761
from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from …
Persistent link: https://www.econbiz.de/10013092430
The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for …
Persistent link: https://www.econbiz.de/10014122438
dependence between the price and noise processes provides an often missing link to market microstructure theory. We find …
Persistent link: https://www.econbiz.de/10013134748
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
Monte Carlo simulations are used to explore the small sample properties of a mean group and two pooled panel estimators … theory is relevant to practical applications. With I(0) errors and homogeneous coefficients, the estimators are unbiased … heterogeneous coefficients. The mean group estimators, however, are generally correctly sized. An application to a panel of OECD …
Persistent link: https://www.econbiz.de/10014129429
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...
Persistent link: https://www.econbiz.de/10014071881
We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....
Persistent link: https://www.econbiz.de/10012421000
In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...
Persistent link: https://www.econbiz.de/10013007631