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Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …

Persistent link: https://www.econbiz.de/10011373822

Precision-based sampling for state space models that have no measurement error

Mertens, Elmar - 2023

instance of precision-based sampling methods that operate on the inverse variance-covariance matrix of the states (also known … other instances of precision-based sampling, computational gains are considerable. Relevant applications include trend …

Persistent link: https://www.econbiz.de/10014336195

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we account …

Persistent link: https://www.econbiz.de/10011380135

Long Memory Dynamics for Multivariate Dependence Under Heavy Tails

Janus, Pawel - 2011

We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...

Persistent link: https://www.econbiz.de/10013117591

A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations

Creal, Drew - 2010

concerns the weighting of lagged squared innovations for the estimation of future correlations and volatilities. When we …

Persistent link: https://www.econbiz.de/10013146598

The persistence of suicides in G20 countries between 1990 and 2017 : an SPSM approach to three generations of unit root tests

Anyikwa, Izunna; Hamman, Nicolene; Phiri, Andrew - In: Comparative economic research : Central and Eastern Europe 24 (2021) 2, pp. 153-173

Suicides represent an encompassing measure of psychological wellbeing, emotional stability as well as life satisfaction, and they have been recently identified by the World Health Organization (WHO) as a major global health concern. The G20 countries represent the powerhouse of global economic...

Persistent link: https://www.econbiz.de/10012666866

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

Persistent link: https://www.econbiz.de/10011964941

Common Seasonal Features : Global Unemployment

Hylleberg, Svend; Engle, Robert F. - 2008

Seasonal patterns in economic time series are generally examined from a univariate point of view. Using extensions of the unit root literature, important classes of seasonal processes are deterministic, stationary stochastic or mean reverting, and unit root stochastic. Time series tests have...

Persistent link: https://www.econbiz.de/10014029581

A Survey of Recent Advances in Forecast Accuracy Comparison Testing, With an Extension to Stochastic Dominance

Corradi, Valentina - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10013079051

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063