Showing 11 - 20 of 1,424
This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2 d 1, and in the stationary case we provide a Normal approximation to the finite-sample...
Persistent link: https://www.econbiz.de/10005100960
Using the tail index of returns on US equities as a summary measure of extreme behaviour, we examine changes in the equity markets surrounding the development of program trading for portfolio insurance, the crash of 1987, and the subsequent introduction of circuit breakers and other changes in...
Persistent link: https://www.econbiz.de/10005100982
The growth rates of real output and real investment are two macroeconomic time series which are particularly difficult to forecast. This paper considers the application of diffusion index forecasting models to this problem. We begin by characterizing the performance of standard forecasts, via...
Persistent link: https://www.econbiz.de/10005100998
Economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic monitoring. However, technological advances of the past several years have resulted in new high-frequency data sources that could potentially provide more accurate and...
Persistent link: https://www.econbiz.de/10005101022
Using realized volatility to estimate daily conditional volatility of financial returns, we compare forecasts of daily volatility from standard QML-estimated GARCH models, and from projections on past realized volatilities obtained from high-frequency data. We consider horizons extending to...
Persistent link: https://www.econbiz.de/10005101091
We address evidence that competition from wireless telecommunications may already be having a substantial effect on the market for wireline services, despite historical estimates of price elasticity suggesting substantial market power (weak competition) in wireline services, considering both the...
Persistent link: https://www.econbiz.de/10005079405
While the efficiency of economic arrangements is the primary focus of economic research, we may ask whether the efficiency improvements that have been experienced in the developed economies have been accompanied by increased vulnerability of output to catastrophic events. In order to address...
Persistent link: https://www.econbiz.de/10005027208
Regression models sometimes contain a linear parametric part and a part obtained by reducing the dimension of a larger set of data. This paper considers properties of estimates of the interpretable parameters of the model, in a general setting in which a potentially unbounded set of other...
Persistent link: https://www.econbiz.de/10009322700
This paper uses payments system data to study the impact on personal consumption expenditure, and therefore on economic activity, of occasional extreme events. The usual quarterly data supplied by central statistical agencies are of little use to policy makers for monitoring effects of...
Persistent link: https://www.econbiz.de/10009365878
In hedonic regression models of the valuation of works of art, the age at which an artist produces a particular work, or an indicator variable for periods in his or her artistic career, is often found to have highly significant predictive value. Most existing results are based on regressions...
Persistent link: https://www.econbiz.de/10008565454