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Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data

Christensen, Bent Jesper; Nielsen, Morten Ø. - School of Economics and Management, University of Aarhus

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration. This concept allows derivation of useful long-run relations even among stationary long memory processes. The approach uses a degenerating part of the periodogram...

Persistent link: https://www.econbiz.de/10005114057

Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)

Artech, Josu; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 1998

Several semiparametric estimates of the memory parameter in standard long memory time series are now available. They consider only local behaviour of the spectrum near zero frequency, about which the spectrum is symmetric. However, long-range dependence can appear as a spectral pole at any...

Persistent link: https://www.econbiz.de/10005670821

Causality between Inflation and Inflation Uncertainty in South Africa: Evidence from a Markov-Switching Vector Autoregressive Model

Nasr, Adnen Ben; Balcilar, Mehmet; Ajmi, Ahdi N.; Aye, … - Department of Economics, Faculty of Economic and … - 2014

This study investigates the asymmetric and time-varying causality between inflation and inflation uncertainty in South Africa within a conditional Gaussian Markov switching vector autoregressive (MS-VAR) model framework. The MS-VAR model is capable of determining both the sign and direction of...

Persistent link: https://www.econbiz.de/10011125860

25 Years of IIF Time Series Forecasting: A Selective Review

Gooijer, Jan G. De; Hyndman, Rob J. - Department of Econometrics and Business Statistics, … - 2005

We review the past 25 years of time series research that has been published in journals managed by the International Institute of Forecasters (Journal of Forecasting 1982-1985; International Journal of Forecasting 1985-2005). During this period, over one third of all papers published in these...

Persistent link: https://www.econbiz.de/10005427625

Locally robust inference for non-Gaussian SVAR models

Hoesch, Lukas; Lee, Adam; Mesters, Geert - In: Quantitative economics : QE ; journal of the … 15 (2024) 2, pp. 523-570

All parameters in structural vector autoregressive (SVAR) models are locally identified when the structural shocks are independent and follow non-Gaussian distributions. Unfortunately, standard inference methods that exploit such features of the data for identification fail to yield correct...

Persistent link: https://www.econbiz.de/10015053146

Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Residual Log-Periodogram Inference for Long-Run Relationships

Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - 2002

We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...

Persistent link: https://www.econbiz.de/10010323712

Residual log-periodogram inference for long-run relationships

Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002

Persistent link: https://www.econbiz.de/10011524765

Residual Log-Periodogram Inference for Long-Run-Relationships

Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2002

Persistent link: https://www.econbiz.de/10008587212

Semiparametric inference in correlated long memory signal plus noise models

González, Arteche; María, Jesús - Departamento de Economía Aplicada III (Econometría y … - 2010

This paper proposes an extension of the log periodogram regression in perturbed long memory series that accounts for the added noise, also allowing for correlation between signal and noise, which represents a common situation in many economic and financial series. Consistency (for d 1) and...

Persistent link: https://www.econbiz.de/10008559980

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