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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011 - This version: July 2011
that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of …
Persistent link: https://www.econbiz.de/10009229669
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - 2011
; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130538
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Seeing inside the black box : using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.
production; and exchange rates. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130733
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Localized realized volatility modelling
Chen, Ying; Härdle, Wolfgang; Pigorsch, Uta - 2009
With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...
Persistent link: https://www.econbiz.de/10003796151
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Nature and causes of economic fluctuations : evidence from the U.S. based on a nonlinear autoregressive integrated process
Li, Xiang; He, Zonglu - In: International journal of empirical economics 2 (2023) 3, pp. 1-21
Business cycles and economic growth have long been studied separately, hindering understanding of the nature and causes of economic fluctuations and growth. Here, we present an economic model that incorporates both deterministic trends and persistent fluctuations, derived from a general economic...
Persistent link: https://www.econbiz.de/10014430575
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A Noncausal Autoregressive Model with Time-Varying Parameters : An Application to U.S. Inflation
Lanne, Markku - 2013
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980s and slightly increased...
Persistent link: https://www.econbiz.de/10013084430
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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....
Persistent link: https://www.econbiz.de/10003821063
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …
Persistent link: https://www.econbiz.de/10003962215
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Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging
Jumah, Adusei; Kunst, Robert M. - 2008
Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …
Persistent link: https://www.econbiz.de/10009735355
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Is more still better? : revisiting the sixth district coincident indicator
Silos, Pedro; Vilán, Diego - 2009
version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …
Persistent link: https://www.econbiz.de/10009419466