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Conditional Heteroskedasticity in Long Memory Model 'FIMACH' for Return Volatilities in BRICS Equity Markets
Mollah, Sabur - 2015
squared returns for BRICS (Brazil, Russia, India, China, and South Africa) countries. The conditional first- and second … return series for BRICS countries. In its estimation, the FIMACH model outperforms the FIGARCH and ARFIMA models …
Persistent link: https://www.econbiz.de/10013017294
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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 … be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model …
Persistent link: https://www.econbiz.de/10011928329
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …
Persistent link: https://www.econbiz.de/10011674010
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …
Persistent link: https://www.econbiz.de/10011812671
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VAR Analysis on the relationship between consumer price index, real interest and exchange rate : the case of Turkey
Sünbül, Ersin - In: International journal of empirical economics 1 (2022) 2, pp. 1-24
The study aims to examine the relationships between variables from different perspectives by using Turkey's Real …
Persistent link: https://www.econbiz.de/10014331729
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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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On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations
Schmitt, Noemi; Westerhoff, Frank H. - 2017
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...
Persistent link: https://www.econbiz.de/10011595441
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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality
Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10011411344
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Co-movement and causality between nominal exchange rates and interest rate differentials in BRICS countries : a wavelet analysis
Si, Dengkui; Li, Xiao-Lin; Chang, Tsangyao; Bai, Lu - In: Romanian journal of economic forecasting 21 (2018) 1, pp. 5-19
Persistent link: https://www.econbiz.de/10012019810
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Effects of exchange rate, output gap, and output gap volatility on inflation volatility in Turkey
Özer, Mustafa; Grubišić, Zoran; Küçüksakarya, Sevilay - In: Journal of central banking theory and practice 12 (2023) 1, pp. 5-26
inflationvolatility in Turkey by using the ARDL bounds testing approach.Second, we also examine the causal relationship among these vari …
Persistent link: https://www.econbiz.de/10014312187