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Brownlees, Christian T. - 2011

Financial time series analysis has focused on data related to market trading activity. Next to the modeling of the conditional variance of returns within the GARCH family of models, recent attention has been devoted to other variables: First, and foremost, volatility measured on the basis of...

Persistent link: https://www.econbiz.de/10013124649

A Bayesian Semiparametric Multiplicative Error Model with an Application to Realized Volatility

Solgi, Reza - 2013

A semiparametric multiplicative error model (MEM) is proposed. In traditional MEM, the innovations are typically assumed to be Gamma distributed (with one free parameter that ensures unit mean of the innovations and thus identifiability of the model), however empirical investigations unveils the...

Persistent link: https://www.econbiz.de/10013089716

Exports and capacity constraints : evidence for several euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2015

We argue that, under certain conditions, firms consider exports as a substitute for domestic demand. Our econometric model for six euro area countries suggests domestic demand and capacity constraints as additional variables for export equations. We apply the exponential and logistic variant of...

Persistent link: https://www.econbiz.de/10011300368

Dynamic corporate capital structure behavior : empirical assessment in the light of heterogeneity and non stationarity

Bontempi, Maria Elena; Bottazzi, Laura; Golinelli, Roberto - 2015

Understanding the dynamics of the leverage ratio is at the heart of the empirical research about firms' capital structure, as they can be very different under alternative theoretical models. The pillars of almost all empirical applications are the maintained assumptions of poolability and...

Persistent link: https://www.econbiz.de/10011715923

Export hysteresis, capacity constraints and uncertainty : a smooth-transition analysis for euro area member countries

Belke, Ansgar; Wagemester, Jan - 2017

We argue that, under certain conditions described by a sunk cost hysteresis model, firms consider exports as a substitute for domestic demand. This is valid also on the macroeconomic level where the switch from the domestic market to the export market and vice versa takes place in a smooth...

Persistent link: https://www.econbiz.de/10011718600

Dollarization in Lithuania : An Econometric Approach

Vetlov, Igor - 2007

The paper analyses the factors driving dollarization in Lithuania during the period from December 1992 to August 2000. Starting with a brief overview of the major economic and political developments in Lithuania, the study attempts to model the process of dollarization by applying rigorous time...

Persistent link: https://www.econbiz.de/10012729033

Doubly Multiplicative Error Models with Long– and Short–run Components

Amendola, Alessandra; Candila, Vincenzo; Cipollini, Fabrizio - 2020

We suggest the Doubly Multiplicative Error class of models (DMEM) for modeling and forecasting realized volatility, which combines two components accommodating low–, respectively, high–frequency features in the data. We derive the theoretical properties of the Maximum Likelihood and...

Persistent link: https://www.econbiz.de/10014096506

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory … models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

Persistent link: https://www.econbiz.de/10014023695

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472