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Estimating nonlinear intergenerational income mobility with correlation curves
Nilsson, Jan Olof William - 2019
A correlation curve is introduced as a tool to study the degree of intergenerational income mobility, i.e. how income status is related between parents and adult child. The method overcomes the shortcomings of the elasticity of children’s income with respect to parents’ income (i.e. its...
Persistent link: https://www.econbiz.de/10011958888
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Goodness-of-fit tests for copulas of multivariate time series
Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...
Persistent link: https://www.econbiz.de/10011654178
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The modeling of earnings per share of Polish companies for the post-financial crisis period using random walk and ARIMA models
Kuryłek, Wojciech - In: Journal of banking and financial economics 19 (2023) 1, pp. 26-43
The proper forecasting of listed companies' earnings is crucial for their appropriate pricing. This paper compares forecast errors of different univariate time-series models applied for the earnings per share (EPS) data for Polish companies from the period between the last financial crisis of...
Persistent link: https://www.econbiz.de/10014285928
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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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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
, fat tails and trading time, was developed as an alternative to the ARCH family models. Empirical analysis of the study …
Persistent link: https://www.econbiz.de/10011474619
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Conditional variance forecasts for long-term stock returns
Mammen, Enno; Nielsen, Jens Perch; Scholz, Michael; … - In: Risks : open access journal 7 (2019) 4/113, pp. 1-22
In this paper, we apply machine learning to forecast the conditional variance of long-term stock returns measured in excess of different benchmarks, considering the short- and long-term interest rate, the earnings-by-price ratio, and the inflation rate. In particular, we apply in a two-step...
Persistent link: https://www.econbiz.de/10012127861
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Permutation entropy and information recovery in nonlinear dynamic economic time series
Henry, Miguel; Judge, George G. - In: Econometrics : open access journal 7 (2019) 1/10, pp. 1-16
The focus of this paper is an information theoretic-symbolic logic approach to extract information from complex economic systems and unlock its dynamic content. Permutation Entropy (PE) is used to capture the permutation patterns-ordinal relations among the individual values of a given time...
Persistent link: https://www.econbiz.de/10012025643
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279
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Fractal structure of the stock markets of leading asian countries
Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394
Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal … dimension calculations. In order to avoid spurious long memory features, besides the Detrended Fluctuations Analysis (DFA), we … DFA or modified GPH test. Fractal dimension analysis also demonstrated that all raw index prices have fractal structure …
Persistent link: https://www.econbiz.de/10011568388
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Nonparametric estimation of triangular simultaneous equations models under weak identification
Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on which weak identification is established. Then...
Persistent link: https://www.econbiz.de/10012202234