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Spatial Chow-Lin methods for data completion in econometric flow models
Polasek, Wolfgang; Sellner, Richard - 2010
Flow data across regions can be modeled by spatial econometric models, see LeSage and Pace (2009). Recently, regional studies became interested in the aggregation and disaggregation of flow models, because trade data cannot be obtained at a disaggregated level but data are published on an...
Persistent link: https://www.econbiz.de/10009733811
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Disentangling different patterns of business cycle synchronicity in the EU regions
Anagnostou, Ageliki; Panteladis, Ioannis; Tsiapa, Maria - 2012
The present paper discourses on how European integration and gradual enlargement has affected the synchronicity in business cycles in EU regions. The analysis, which is conducted on annual data at the NUTSII level, is based on the following grounds: First, it examines the degree of synchronicity...
Persistent link: https://www.econbiz.de/10011508019
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The extended Hodrick-Prescott (HP) filter for spatial regression smoothing
Polasek, Wolfgang - 2011
The extended Hodrick-Prescott (HP) method was developed by Polasek (2011) for a class of data smoother based on second order smoothness. This paper develops a new extended HP smoothing model that can be applied for spatial smoothing problems. In Bayesian smoothing we need a linear regression...
Persistent link: https://www.econbiz.de/10009685470
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On GDP-employment decoupling in Germany
Klinger, Sabine; Weber, Enzo - 2014
This paper investigates the time-varying relationship between German output and employment growth, in particular their decoupling in recent years. We estimate a correlated unobserved components model that allows for both persistent and cyclical time variation in the employment impact of GDP as...
Persistent link: https://www.econbiz.de/10010401756
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A new dynamics-based segmentation approach for maximizing long-term marketing impact
Sismeiro, Catarina; Mizik, Natalie; Bucklin, Randolph E. - In: MSI reports : working paper series (2008) 2, pp. 63-92
Persistent link: https://www.econbiz.de/10003779745
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Modeling coexisting business scenarios with time-series panel data : a dynamics-based segmentation approach
Sismeiro, Catarina; Mizik, Natalie; Bucklin, Randolph E. - In: International journal of research in marketing : IJRM ; … 29 (2012) 2, pp. 134-147
Persistent link: https://www.econbiz.de/10009569979
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...
Persistent link: https://www.econbiz.de/10011303289
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124