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There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
The paper considers a SUTSE model embedded in a dynamic framework to estimate an energy cost share model for the Italian economy in an evolutionary environment. This is achieved by allowing stochastic seasonal and trend components in the long-run specification and constructing an error...
Persistent link: https://www.econbiz.de/10011608370
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
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
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011781891
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...
Persistent link: https://www.econbiz.de/10011945700
We study semi-parametric estimation and inference in cointegrated panels with endogenous feedback, allowing for general time-series and cross-section dependence and heterogeneity.Central to this literature are the fully-modified OLS of Phillips and Hansen (1990) that use a spectral...
Persistent link: https://www.econbiz.de/10012970628
Though ordinary least square (OLS) estimates are super-consistent with cointegrated variables, their finite-T bias can be large in the presence of endogenous feedback. Fully modified OLS (FMOLS) are parsimonious tools to measure the cointegrating [long-run] slope between integrated variables in...
Persistent link: https://www.econbiz.de/10013064659