Showing 1 - 10 of 1,396
We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...
Persistent link: https://www.econbiz.de/10010289004
This paper assesses the stochastic convergence of relative CO<sub>2</sub> emissions within three different sets of countries over the period 1950-2013. Using the Local Whittle (LW) estimator and its variants we investigate whether relative per-capita CO<sub>2</sub> emissions are long memory processes which, although...
Persistent link: https://www.econbiz.de/10012964474
Nonstationarity of the volatility process reflects low-frequency volatility changes of an economic time series, and its theoretical and empirical relevance has been widely recognized. We investigate how it affects CUSUM-related tests for structural change in regression coefficients....
Persistent link: https://www.econbiz.de/10013021238
The objective of this paper is to introduce the break preserving local linear (BPLL) estimator for the estimation of unstable volatility functions. Breaks in the structure of the conditional mean and/or the volatility functions are common in Finance. Markov switching models (Hamilton, 1989) and...
Persistent link: https://www.econbiz.de/10013155274
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082098
We propose the use of likelihood-based confidence sets for the timing of structural breaks in parameters from time series regression models. The confidence sets are valid for the broad setting of a system of multivariate linear regression equations under fairly general assumptions about the...
Persistent link: https://www.econbiz.de/10013082120
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...
Persistent link: https://www.econbiz.de/10013068629
In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...
Persistent link: https://www.econbiz.de/10013053361
In the paper a general framework for large scale modeling of macroeconomic and financial time series is introduced. The proposed approach is characterized by simplicity of implementation, performing well independently of persistence and heteroskedasticity properties, accounting for common...
Persistent link: https://www.econbiz.de/10013063442