Cycles play an important role when analyzing market phenomena. In many markets, both overlaying (weekly, seasonal or business cycles) and time-varying cycles (e.g. asymmetric lengths of peak and off peak or variation of business cycle length) exist simultaneously. Identification of these market...

In this paper we evaluate the performance of several structural break tests under various DGPs. Concretely we look at size and power properties of CUSUM based, LM and Wald volatility break tests. In a simulation study we derive the properties of the tests under shifts in the unconditional and...

Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...

In this paper, we model business investment distinguishing between ICT (communication equipment, hardware and software) and Non-ICT (machinery and equipment, and nonresidential buildings) components and taking into account asset specific characteristics potentially affecting the reactivity of...

In this paper, we model business investment distinguishing between ICT (communication equipment, hardware and software) and Non-ICT (machinery and equipment, and nonresidential buildings) components and taking into account asset specific characteristics potentially affecting the reactivity of...

We study whether aggregation residuals in U.S. private investment in information technology (IT) exhibit a predictable pattern that is consistent with Hicks' composite-good theorem and that may be used for forecasting. To determine whether one can extract such a pattern, we apply the...

Purpose – This paper presents the framework that is developed for analysis of intellectual capital transformation into companies' value, including an identification of the key factors of this process. Design/methodology/approach – The paper employs intellectual capital on the intersection of...

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...