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Search: subject:"Band spectrum regression"
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band spectrum regression
6
Regression analysis
4
Regressionsanalyse
4
State space model
4
Zustandsraummodell
4
Volatility
3
Volatilität
3
Band spectrum regression
2
Cointegration
2
Estimation theory
2
Foreign investors
2
Kointegration
2
Long-range dependence
2
Schätztheorie
2
Time series analysis
2
Zeitreihenanalyse
2
cointegration
2
corridor implied volatility
2
economic modeling
2
exchange rate
2
fractional cointegration
2
frequency domain
2
local investors
2
realized volatility
2
wavelet analysis
2
wavelet band spectrum regression
2
wavelet transform
2
ARCH model
1
ARCH-Modell
1
Anlageverhalten
1
Arbeitslosigkeit
1
Auslandsinvestition
1
Behavioural finance
1
Colombia
1
Corridor implied volatility
1
Exchange rate
1
Foreign investment
1
Fractional cointegration
1
Investment
1
Kolumbien
1
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7
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Working Paper
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2
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English
8
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3
Author
All
Andersson, Fredrik N. G.
2
Barunik, Jozef
2
Barunikova, Michaela
2
Gamboa-Estrada, Fredy
2
Baruník, Jozef
1
Hegelund, Erik
1
Hlínková, Michaela
1
Kim, Changsik
1
Marinucci, D
1
Marinucci, D.
1
Taalbi, Josef
1
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Econometric Society
1
London School of Economics (LSE)
1
Nationalekonomiska Institutionen, Ekonomihögskolan
1
Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
1
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Econometric Society 2004 Far Eastern Meetings
1
Economic modelling
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LSE Research Online Documents on Economics
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STICERD - Econometrics Paper Series
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Structural change and economic dynamics : SC+ED
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ECONIS (ZBW)
4
RePEc
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EconStor
3
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The role of foreign investors and local agents in the derivatives market and their impact on the exchange rate in Colombia: A wavelet analysis
Gamboa-Estrada, Fredy
-
2023
Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...
Persistent link: https://www.econbiz.de/10014374742
Saved in:
2
The role of foreign investors and local agents in the derivatives market and their impact on the exchange rate in Colombia : a wavelet analysis
Gamboa-Estrada, Fredy
-
2023
Changes in net positions of foreign and local investors in the forward market may have differential effects on the spot exchange rate. This paper assesses the role of different sectors in the derivatives market and their potential impact with other fundamentals on the spot exchange rate in...
Persistent link: https://www.econbiz.de/10014335504
Saved in:
3
What determines unemployment in the long run? :
band
spectrum
regression
on ten countries 1913-2016
Hegelund, Erik
;
Taalbi, Josef
- In:
Structural change and economic dynamics : SC+ED
64
(
2023
),
pp. 144-167
Persistent link: https://www.econbiz.de/10014463933
Saved in:
4
Revisiting the long memory dynamics of implied-realized volatility relation: A new evidence from wavelet
band
spectrum
regression
Barunik, Jozef
;
Barunikova, Michaela
-
2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...
Persistent link: https://www.econbiz.de/10011279512
Saved in:
5
Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet
band
spectrum
regression
Barunik, Jozef
;
Barunikova, Michaela
-
2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...
Persistent link: https://www.econbiz.de/10011280711
Saved in:
6
Band Spectrum Regressions using Wavelet Analysis
Andersson, Fredrik N. G.
-
2011
). Engle (1974) proposed combining the discrete Fourier transform with a
band
spectrum
regression
to estimate models that …
Persistent link: https://www.econbiz.de/10013208583
Saved in:
7
Revisiting the long memory dynamics of the implied-realized volatility relationship : new evidence from the wavelet regression
Baruník, Jozef
;
Hlínková, Michaela
- In:
Economic modelling
54
(
2016
),
pp. 503-514
Persistent link: https://www.econbiz.de/10011642296
Saved in:
8
Band Spectrum Regressions using Wavelet Analysis
Andersson, Fredrik N. G.
-
Nationalekonomiska Institutionen, Ekonomihögskolan
-
2011
). Engle (1974) proposed combining the discrete Fourier transform with a
band
spectrum
regression
to estimate models that …
Persistent link: https://www.econbiz.de/10009150902
Saved in:
9
Band
spectrum
regression
for cointegrated time series with long memory innovations
Marinucci, D.
-
London School of Economics (LSE)
-
1998
Band
spectrum
regression
is considered for cointegrated time series with long memory innovations. The estimates we …
Persistent link: https://www.econbiz.de/10010745814
Saved in:
10
Band
Spectrum
Regression
for Cointegrated Time Series with Long Memory Innovations
Marinucci, D
-
Suntory and Toyota International Centres for Economics …
-
1998
Band
spectrum
regression
is considered for cointegrated time series with long memory innovations. The estimates we …
Persistent link: https://www.econbiz.de/10005670811
Saved in:
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