This paper analyses long- and short-term co-movements between 14 international real estate stock markets based on bivariate testing for cointegration and correlation analysis. The results indicate that there exist strong long-term relationships within economic and geographical regions, but less...

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

We provide a general class of tests for correlation in time series, spatial, spatio-temporal and cross-sectional data. We motivate our focus by reviewing how computational and theoretical difficulties of point estimation mount as one moves from regularly-spaced time series data, through forms of...

Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...

This paper introduces a generalized approach to canonical regression, in which a set of jointly dependent variables enters the left-hand side of the equation as a linear combination, formally like the linear combination of regressors in the right-hand side of the equation. Natural applications...

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year-on-year GDP growth. Using the Baxter-King filter, we split up each series into three components: a short-term, a business cycle (oscillations between 18 and 96 months) and a...

The contingency table literature on tests for dependence among discrete multi-category variables is extensive. Existing tests assume, however, that draws are independent, and there are no tests that account for serial dependencies -- a problem that is particularly important in economics and...

We propose a simultaneous equation system with GARCH errors to model the contemporaneous relations among Asian and American stock markets. On the estimated residuals, we evaluate the correlation matrix over rolling windows and introduce a correlation matrix distance, which allows both a...