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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
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
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
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
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Economic policy uncertainty : persistence and cross-country linkages
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2020
countries is examined applying a fractional cointegration method which tests for the possible existence of a long …
Persistent link: https://www.econbiz.de/10012219127
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Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression
Hoover, Kevin D. - 2008
approach requires careful specification of the integration and cointegration properties of variables in systems of equations …
Persistent link: https://www.econbiz.de/10012726093
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Detecting Imbalances in House Prices : What Goes Up Must Come Down?
Anundsen, André K. - 2016
With the aid of econometric modeling, I investigate whether rapidly increasing house prices necessarily imply the existence of a bubble that will eventually burst. I consider four alternative econometric methods to construct indicators of housing market imbalances for the US, Finland and Norway....
Persistent link: https://www.econbiz.de/10012982595
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The effects of foreign direct investments and economic growth on employment and female employment : a time series analysis with structural breaks for Turkey
Umit, A. Oznur; Alkan, H. Isil - In: International journal of business and economic sciences … 9 (2016) 3, pp. 43-49
Carrion-i Silvestre et. al. (2009) unit root test with multiple structural breaks and the cointegration relationship between … variables is tested with Maki (2012) cointegration test with multiple structural breaks. Dynamic ordinary least squares (DOLS …) method is used for estimating cointegration coefficients. Findings – It is revealed with the study that foreign direct …
Persistent link: https://www.econbiz.de/10011593592
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A conversation with Søren Johansen
Johansen, Søren (interviewee); Mosconi, Rocco (interviewer) - In: Econometrics : open access journal 10 (2022) 2, pp. 1-16
fractional cointegration types; survival analysis; statistical modelling; likelihood; econometric methodology; the teaching and …
Persistent link: https://www.econbiz.de/10013355167
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A conversation with Katarina Juselius
Jusélius, Katarina (interviewee);  … - In: Econometrics : open access journal 10 (2022) 2, pp. 1-21
This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355175
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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