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Linking series generated at different frequencies and its applications
Hyung, Namwon - 1998
Persistent link: https://www.econbiz.de/10001353351
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Linking series generated at different frequencies and its applications
Hyung, Namwon - 1998
This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data in forecasting economic aggregates can improve forecast accuracy. The best way of using this information is to build a single model, for example, an ARMA model with missing...
Persistent link: https://www.econbiz.de/10010503744
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Time Series Econometrics : Learning Through Replication
Levendis, John D. - 2023 - 2nd ed. 2023.
-proof approach as much as possible, and emphasizes the practical application of econometrics. They show with examples how to … find the book useful. “How to best start learning time series econometrics? Learning by doing. This is the ethos of this …, no-nonsense, practical approach that students will love when they start learning time series econometrics. I recommend …
Persistent link: https://www.econbiz.de/10014443465
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Linking series generated at different frequencies and its applications
Hyung, Namwon - 1998
This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data in forecasting economic aggregates can improve forecast accuracy. The best way of using this information is to build a single model, for example, an ARMA model with missing...
Persistent link: https://www.econbiz.de/10010301743
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Long-range dependence in returns and volatility of Central European Stock indices
Krištoufek, Ladislav - 2010
In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...
Persistent link: https://www.econbiz.de/10010322268
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Türkiye’'de Reel Ücretlerin TAR Modeli ile Analizi ve Birim Kök Sınaması
Alp, Elcin Aykac - 2007
Doğrusal olmayan yapıdaki iktisadi değişkenler uzun yıllar doğrusal modeller araçları ile analiz edilmiş bu nedenle de gerçek hayatı açıklamada yetersiz kalmıştır. Son dönemde yapılan çalışmalar sonucunda doğrusal olmayan zaman serileri analizlerinin özellikle makro...
Persistent link: https://www.econbiz.de/10010320575
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In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10010282832
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Türkiye'de reel ücretlerin tar modeli ile analizi ve birim kök sınaması
Alp, Elc̜in Aykac̜ (contributor) - 2008
Nonlinear economic variables have been tested for many years with linear models, thus making them insufficient in providing an explanation for real life. As a result of the recently conducted studies, nonlinear time series analyses are observed to be more successful in forming especially the...
Persistent link: https://www.econbiz.de/10003753640
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Long-range dependence in returns and volatility of Central European Stock indices
Kristoufek, Ladislav - 2010
In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and postblackening is used for the construction of confidence...
Persistent link: https://www.econbiz.de/10003958694
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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Gürtler, Marc; Rauh, Ronald - 2009 - This Version: 2009-09-09
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics are modelled both exogenously and deterministic, captured by a nonparametric curve estimation on equidistant centered returns. We prove consistency and asymptotic normality of a...
Persistent link: https://www.econbiz.de/10009487233