Search Results - subject:"Autoregressive Models"

Multivariate Contemporaneous Threshold Autoregressive Models

Dueker, Michael; Psaradakis, Zacharias; Sola, Martin; … - Departamento de Economía, Universidad Torcuato Di Tella - 2009

In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the...

Persistent link: https://www.econbiz.de/10005041754

Generalized Impulse Response Analysis: General or Extreme?

Hyeongwoo, Kim - Volkswirtschaftliche Fakultät, … - 2009

This note discusses a pitfall of using the generalized impulse response function (GIRF) in vector autoregressive (VAR) models (Pesaran and Shin, 1998). The GIRF is general because it is invariant to the ordering of the variables in the VAR. The GIRF, in fact, is extreme because it yields a set...

Persistent link: https://www.econbiz.de/10005105929

Technical Appendix-3-Regime asymmetric STAR modeling and exchange rate reversion

cerrato, mario; Kim, Hyunsok; MacDonald, Ronald - Department of Economics, Adam Smith Business School - 2009

additional empirical results. JEL Classi�cation: C16, C22, F31 Keywords: unit root tests, threshold autoregressive models … CMK-STAR for OECD RER 12 Park, J. Y. and M. Shintani (2005). Testing for a unit root against transitional autoregressive … models. Working Papers 05010. Sollis, R. (2005). Evidence on purchasing power parity from univeriate models: The case of …

Persistent link: https://www.econbiz.de/10005061492

Bootstrap prediction intervals for threshold autoregressive models

Jing, Li - Volkswirtschaftliche Fakultät, … - 2009

This paper examines the performance of prediction intervals based on bootstrap for threshold autoregressive models. We …

Persistent link: https://www.econbiz.de/10005835843

Bank Competition and International Financial Integration: Evidence using a new index

Pasricha, Gurnain Kaur - FIW - 2009

In the debate on the benefits of international financial integration, recent literature has emphasized the development of domestic markets as a precondition. This paper offers an alternative view. Lack of competition in domestic financial systems may prevent countries from reaping the benefits...

Persistent link: https://www.econbiz.de/10008495511

Dynamics of inflation expectations in the euro area

Paloviita, Maritta - Suomen Pankki - 2009

The present study examines empirically the inflation dynamics of the euro area. The focus of the analysis is on the role of expectations in the inflation process. In six articles we relax rationality assumption and proxy expectations directly using OECD forecasts or Consensus Economics survey...

Persistent link: https://www.econbiz.de/10008774215

Exchange Rate Pass-Through and Inflation: A Nonlinear Time Series Analysis

Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi - Vanderbilt University Department of Economics - 2009

This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well-approximated by a class of smooth transition...

Persistent link: https://www.econbiz.de/10008458186

The Properties of Realized Correlation: Evidence From the Greek Equity Market

Vortelinos, Dimitrios - Department of Economics, University of Peloponnese - 2009

In this paper I examine the properties of four realized correlation estimators and model their jumps. The correlations are between the three main FTSE indices of the Athens Stock Exchange (ASE). Using intraday data I rst construct four state-of-the-art realized correlation estimators which I...

Persistent link: https://www.econbiz.de/10008461729

Realized Volatility and Jumps in the Athens Stock Exchange

Vortelinos, Dimitrios; Thomakos, Dimitrios - Department of Economics, University of Peloponnese - 2009

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on...

Persistent link: https://www.econbiz.de/10008461731

Bank competition and international financial integration : evidence using a new index

Pasricha, Gurnain Kaur - 2009

Persistent link: https://www.econbiz.de/10011373507