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Economic regime shifts and the US subprime bubble
Anundsen, André Kallåk - 2013
are based on the detection of huge parameter non-constancies and a loss of equilibrium correction in two theory derived …
Persistent link: https://www.econbiz.de/10009704286
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Econometric Regime Shifts and the US Subprime Bubble
Anundsen, André K. - 2016
huge parameter non-constancies and a loss of equilibrium correction in two theory derived cointegrating relationships shown …
Persistent link: https://www.econbiz.de/10013007870
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Bitcoin and web search query dynamics : is the price driving the hype or is the hype driving the price?
Süssmuth, Bernd - 2019
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a...
Persistent link: https://www.econbiz.de/10012026340
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
Hautsch, Nikolaus (contributor) - 2007
relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious …
Persistent link: https://www.econbiz.de/10003634717
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The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Schreiber, Sven - 2011 - this version: February 2011
The topic of this paper is the estimation uncertainty of the Stock-Watsonand Gonzalo-Granger permanent-transitory decompositions in the frameworkof the cointegrated vector-autoregression. Specifically, we suggest an approach to construct the confidence interval of the transitory component in...
Persistent link: https://www.econbiz.de/10009530402
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The Time-Series Linkages between US Fiscal Policy and Asset Prices
El Montasser, Ghassen - 2020
This paper studies the interplay of fiscal policy and asset price returns of the United States in a time-varying-parameter vector autoregressive model. Using annual data from 1890 to 2013, we study the effects of dynamic shocks to both fiscal policy and asset returns on asset returns and fiscal...
Persistent link: https://www.econbiz.de/10012856275
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Proxy Svars : Asymptotic Theory, Bootstrap Inference, and the Effects of Income Tax Changes in the United States
Jentsch, Carsten - 2016
shocks. We provide asymptotic theory for proxy SVARs when the VAR innovations and proxy variables are jointly α-mixing. We …
Persistent link: https://www.econbiz.de/10012983055
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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two … that the model is able to forecast the end of the bubbles and to identify variables highly relevant during the bubble …
Persistent link: https://www.econbiz.de/10010411858
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The regional pattern of the US house price bubble : an application of SPC to city level data
Freese, Julia - 2013
identification methods for asset price bubbles. While there is a growing number of studies focussing on the detection of U ….S. regional bubbles, estimations of the likely starting points in different local U.S. markets are still rare. Using regional data … from 1990 to 2010 methods of Statistical Process Control (SPC) are used to test for house price bubbles in 17 major U …
Persistent link: https://www.econbiz.de/10009721794