This paper proposes a new class of nonlinear interval models for interval-valued time series (ITS). By matching the interval model with interval observations, we develop a nonlinearminimum-distance estimation method for the proposed models, and establish the asymptotictheory for the proposed...

The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such...

A simple, empirical-based approach to decompose Realized Variance (RV) is proposed, with supportive theoretical argument and empirical evidence. Under the proposed framework, RV is interpreted as a product of the intensity and variance of relevant price changes. Holding the variance aspect...

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

In econometrics, long memory models for variance modeling like FIGARCH or FIAPARCH are characterized by a Fractional Differencing term. In order to estimate and apply these models, the infinite MacLaurin expansion of the differencing term has to be truncated at a certain level. We transfer the...

We empirically investigate the functional link between the variance swap rate and the spot variance. Using S&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by Kallsen et al. (2011) in the context of exponentially affine...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...

The paper elaborates on the employment intensity of growth. Previous evidence regarding this question is surveyed. Empirical results concerning Europe and selected other industrial countries reveal that the cyclical link between unemployment and growth is still stable in the nineties. However,...

This paper examines the effects of exchange rate volatility on the export of Turkey in the context of cointegration model over the monthly period of 1989:01-2002:08. The major results show that increases in the volatility of the real exchange rate, approximating exchange-rate uncertainty, exert...