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An inflated Multivariate Integer Count Hurdle model: An application to bid and ask quote dynamics
Bien, Katarzyna; Nolte, Ingmar; Pohlmeier, Winfried - 2007
In this paper we develop a model for the conditional inflated multivariate density of integer count variables with domain Zn. Our modelling framework is based on a copula approach and can be used for a broad set of applications where the primary characteristics of the data are: (i) discrete...
Persistent link: https://www.econbiz.de/10010266935
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An inflated Multivariate Integer Count Hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003449949
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Fractional cointegration and real exchange rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000
This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real …. -- fractional integration ; fractional cointegration ; real exchange rates …
Persistent link: https://www.econbiz.de/10009611542
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Foreign Exchange Market Efficiency : Fractional Cointegration Approach
Belkacem, Lotfi; El Meddeb, Zahra; Boubaker, Heni - 2005
market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate … ARFIMA model. The cointegration tests are conducted using spot and 1- month forward daily exchange rate of the Tunisian Dinar … fractional cointegration between the one-month forward rate and the spot rate relative to these parities (TND/USD) and (TND/Euro) …
Persistent link: https://www.econbiz.de/10014063076
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Gold and silver as safe havens : a fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2022
22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …
Persistent link: https://www.econbiz.de/10013445596
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Gold and Silver as Safe Havens : A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2022
22 stock indices are analysed applying fractional integration/cointegration methods to daily data, first for a sample …
Persistent link: https://www.econbiz.de/10014241989
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of...
Persistent link: https://www.econbiz.de/10011928329
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Consistent Causal Inference for High Dimensional Time Series
Cordoni, Francesco; Sancetta, Alessio - 2022
A methodology for high dimensional causal inference in a time series context is introduced. It is assumed that there is a monotonic transformation of the data such that the dynamics of the transformed variables are described by a Gaussian vector autoregressive process. This is tantamount to...
Persistent link: https://www.econbiz.de/10014076837
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Fractional integration and cointegration in US financial time series data
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …. -- Fractional integration ; long-range dependence ; fractional cointegration ; financial data …
Persistent link: https://www.econbiz.de/10009426696
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Fractional Integration and Cointegration in US Financial Time Series Data
Caporale, Guglielmo Maria - 2011
This paper examines several US monthly financial time series data using fractional integration and cointegration … exploiting recent developments in fractional cointegration allows to investigate in greater depth the relationships between …
Persistent link: https://www.econbiz.de/10013126003