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The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren - In: Contemporary economics 6 (2012) 2, pp. 40-57
There are simple well-known conditions for the validity of regression and correlation as statistical tools. We analyse …
Persistent link: https://www.econbiz.de/10009767620
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Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression
Barunik, Jozef; Barunikova, Michaela - 2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...
Persistent link: https://www.econbiz.de/10011280711
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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Baruník, Jozef - 2013
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...
Persistent link: https://www.econbiz.de/10013090381
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Blaming suicide on NASA and divorce on margarine : the hazard of using cointegration to derive inference on spurious correlation
Moosa, Imad A. - In: Applied economics 49 (2017) 15, pp. 1483-1490
Persistent link: https://www.econbiz.de/10011813612
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Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time
Fernandez-Macho, Javier - 2020
regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …
Persistent link: https://www.econbiz.de/10012854086
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Revisiting the long memory dynamics of the implied-realized volatility relationship : new evidence from the wavelet regression
Baruník, Jozef; Hlínková, Michaela - In: Economic modelling 54 (2016), pp. 503-514
Persistent link: https://www.econbiz.de/10011642296
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Regression analysis of marketing time series : a wavelet approach with some frequency domain insights
Michis, Antonis A. - In: Review of marketing science 7 (2009) 2, pp. 1-41
Persistent link: https://www.econbiz.de/10003888814
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Variable selection in partially linear wavelet models
Ding, Huijuan; Claeskens, Gerda - 2008
Persistent link: https://www.econbiz.de/10003981873
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Some results on ℓ1 polynomial trend filtering
Yamada, Hiroshi; Du, Ruixue - In: Econometrics : open access journal 6 (2018) 3, pp. 1-10
ℓ1 polynomial trend filtering, which is a filtering method described as an ℓ1-norm penalized least-squares problem, is promising because it enables the estimation of a piecewise polynomial trend in a univariate economic time series without prespecifying the number and location of knots. This...
Persistent link: https://www.econbiz.de/10011887661
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Correlation, regression, and cointegration of nonstationary economic time series
Johansen, Søren (contributor) - 2007
Persistent link: https://www.econbiz.de/10003571206