Similar Search Results

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

Persistent link: https://www.econbiz.de/10010375374

Consistent pretesting for jumps

Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014

If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...

Persistent link: https://www.econbiz.de/10010361470

Does monetary policy affect stock market uncertainty? : Empirical evidence from the United States

Jovanović, Mario - 2011

This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a...

Persistent link: https://www.econbiz.de/10008935254

The economics of bitcoins : market characteristics and price jumps

Gronwald, Marc - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10010464707

The memory of volatility

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: July 31, 2017

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over … long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory …

Persistent link: https://www.econbiz.de/10011715842

Information theoretic optimality of observation driven time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …

Persistent link: https://www.econbiz.de/10010340740

Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks

Voges, Michelle; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: June 28, 2017

It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that...

Persistent link: https://www.econbiz.de/10011673153

Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?

Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44

are sensitive to error distribution. Our finding also shows that evidence of good or bad news in volatility does not only …-of-the-week effects in returns and volatility using the Nigerian stock exchange (NSE-30). The Gaussian, Student-t, and the Generalized …

Persistent link: https://www.econbiz.de/10011471089

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

Persistent link: https://www.econbiz.de/10013030485

Sources of the Great Moderation : A Time-Series Analysis of GDP Subsectors

Enders, Walter - 2012

Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984 … understand its root cause. We find that the interest rate sensitive sectors generally experience a much earlier volatility …

Persistent link: https://www.econbiz.de/10013101654