A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

We propose a new semiparametric observation-driven volatility model where the form of the error density directly influences the volatility dynamics. This feature distinguishes our model from standard semiparametric GARCH models. The link between the estimated error density and the volatility...

The main purpose of the present study was to investigate the capabilities of two generations of models such as those based on dynamic neural network (e.g., Nonlinear Neural network Auto Regressive or NNAR model) and a regressive (Auto Regressive Fractionally Integrated Moving Average model which...

In the last ten years, there has been increasing interest and activity in the general area of partially linear regression smoothing in statistics. Many methods and techniques have been proposed and studied. This monograph hopes to bring an up-to-date presentation of the state of the art of...

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

This paper documents the structural differences between climate change leading `actors' as Northern EU countries, and `lagging actors' - southern EU countries and the `Umbrella group' - with regard to their long run carbon-income relationships. We show that such categorization gives relevant...

Ce papier présente des méthodes courantes d’extraction du cycle :les filtres classiques de Hodrick-Prescott, Baxter-King et Christiano-Fitzgerald, puis les filtres numériques de Butterworth, de Hamming et de Hanning, enfin la modélisation tendance-cycle à composantes inobservables. Ces...

In this paper we extend the results of Kitamura (1997) for BEL to the more general class of GEL estimators. The resulting BGEL estimator is proved to be consistent and asymptotically normal and attains the semiparametric lower bound. In addition, we define the BGEL version of the classical...

We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...