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Multi-factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009
, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at …
Persistent link: https://www.econbiz.de/10010271118
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Multi-Factor Gegenbauer processes and European inflation rates
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2009
, Italy and the UK). The empirical results suggest that inflation in France and Italy is nonstationary. However, while for the … exclusively from the long-run or zero frequency. In the UK, inflation seems to be stationary with a component of long memory at …
Persistent link: https://www.econbiz.de/10010271959
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Relative Inflation Dynamics in the EU Accession Countries of Central and Eastern Europe
Nath, Hiranya K. - 2011
paper examines the distribution dynamics of inflation rates in ten EU members from CEE relative to the EMU accession … benchmark inflation over the period 1990-2009. In contrast to previous studies, we use nonparametric methods to test for … convergence in inflation rates between CEE and the EMU benchmark as well as within the CEE sample. Over the entire sample period …
Persistent link: https://www.econbiz.de/10013130934
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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
persistence of the forward discount. However, after removing the breaks, we still find evidence of stationary long memory in all …
Persistent link: https://www.econbiz.de/10011512994
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10003727640
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10008663394
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10008697981
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Nonparametric regression and the detection of turning points in the Ifo business climate
Abberger, Klaus - 2004
Business climate indicators are used to receive early signals for turning points in the general business cycle. Therefore methods for the detection of turning points in time series are required. Estimations of slopes of a smooth component in the data can be calculated with local polynomial...
Persistent link: https://www.econbiz.de/10011450892
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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
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...
Persistent link: https://www.econbiz.de/10011474619