A stylized fact is that realized variance has long memory. We show that, when the instantaneous volatility is driven by a fractional Brownian motion, the integrated variance is characterized by long-range dependence. As a consequence, the realized variance inherits this property when prices are...

An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement errors will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series. In this paper we develop instrumental variable (IV)...

The new governance of official statistics which was recently established in France is a significant progress. In line with international standards, it represents a useful complement to the ethical tradition of French statisticians. In order to restore the necessary trust in official statistics,...

The finite sample properties of the state space methods applied to long memory time series are analyzed through Monte Carlo simulations. The state space setup allows to introduce a novel modeling approach in the long memory framework, which directly tackles measurement errors and random level...

In this paper, we demonstrate that jumps in financial asset prices are not nearly as common as generally thought, and that they account for only a very small proportion of total return variation. We base our investigation on an extensive set of ultra high-frequency equity and foreign exchange...

GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a realized measure of volatility in these models. In this paper we introduce a new framework for the joint modeling of returns and realized measures of volatility. The Realized GARCH...

In the context of globalization, sustainable development is the key to the development of contemporary society and future generations. Sustainability has become a key point for the debates in the political, economic, and academic environment. Therefore, today wehave reached the point when we...

According to a new report of the European Commission, the European area in which one lives can have a considerable influence on the education and on the life perspectives. The report - the first one of this kind – urges the member states of the European Union to undertake more efforts in order...

The correlation between air pollution and health effects in large Japanese cities presents a great challenge owing to the limited availability of data on the exposure to pollution, health effects and the uncertainty of mixed causes. A methodology for quantitative relationships (between the...

Il metodo proposto mira ad analizzare il contesto regionale europeo (UE 15), utilizzando gli indicatori introdotti nel Rapporto di Primavera 2004 e i dati regionali disponibili (Eurostat e OECD, 1999-2003) per evidenziare i migliori risultati e identificare gruppi regionali omogenei rispetto ai...