Search Results - subject:"Long Memory."

On the macroeconomic causes of exchange rates volatility

Morana, Claudio - International Centre for Economic Research (ICER) - 2007

What are the causes of exchange rate volatility? When second moments implications of theories of exchange rates determination are considered, long-term fundamental linkages between macroeconomic and exchange rate volatility can be envisaged. Moreover, as the exchange rate is an important...

Persistent link: https://www.econbiz.de/10004972533

Long memory properties in return and volatility: Evidence from the Korean stock market

Kang, Sang Hoon; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 385 (2007) 2, pp. 591-600

In this paper, we study the dual long memory property of the Korean stock market. For this purpose, the ARFIMA …–FIGARCH model is applied to two daily Korean stock price indices (KOSPI and KOSDAQ). Our empirical results indicate that long memory …

Persistent link: https://www.econbiz.de/10010873844

Market memory and fat tail consequences in option pricing on the expOU stochastic volatility model

Perelló, Josep - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 213-218

The expOU stochastic volatility model is capable of reproducing fairly well most important statistical properties of financial markets daily data. Among them, the presence of multiple time scales in the volatility autocorrelation is perhaps the most relevant which makes appear fat tails in the...

Persistent link: https://www.econbiz.de/10011064355

An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts

Perron, Pierre; Qu, Zhongjun - Department of Economics, Boston University - 2007

Recently, there has been an upsurge of interest on the possibility of confusing long memory and structural changes in … decay, akin to a long memory process. We analyze the properties of the log periodogram estimate of the memory parameter when … our approximations. We also show the usefulness of our results to distinguish between long memory and level shifts via an …

Persistent link: https://www.econbiz.de/10004994219

Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation

Morana, Claudio - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 3, pp. 1092-1092

In this paper we introduce a new common long memory factor model. The model allows to estimate the common persistent …

Persistent link: https://www.econbiz.de/10004966094

Dual Long Memory in Inflation Dynamics across Countries of the Euro Area and the Link between Inflation Uncertainty and Macroeconomic Performance

Conrad, Christian; Karanasos, Menelaos - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1147-1147

. We estimate the two main parameters driving the degree of persistence in inflation and its uncertainty using a dual long … memory process. We also investigate the possible existence of heterogeneity in inflation dynamics across Euro area countries …

Persistent link: https://www.econbiz.de/10004966149

The Long Memory of the Efficient Market

Lillo, Fabrizio; Farmer, J. - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 3, pp. 1226-1226

For the London Stock Exchange we demonstrate that the signs of orders obey a long-memory process. The autocorrelation …-correlated fluctuations in transaction size and liquidity, which are also long-memory processes that act to make the returns whiter. We show …

Persistent link: https://www.econbiz.de/10004966179

A Nonparametric Dimension Test of the Term Structure

Gil-Bazo, Javier; Rubio, Gonzalo - In: Studies in Nonlinear Dynamics & Econometrics 8 (2007) 3, pp. 1117-1117

In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient...

Persistent link: https://www.econbiz.de/10004966183

Information-Theoretic Analysis of Serial Dependence and Cointegration

Aparicio, F.; Escribano, A. - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 3, pp. 119-140

nonparametric and nonlinear methodology for data analysis and for testing the hypotheses of long memory and the existence of a …

Persistent link: https://www.econbiz.de/10004966196

Microeconomic Models for Long Memory in the Volatility of Financial Time Series

Kirman, Alan; Teyssière, Gilles - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 4, pp. 1083-1083

(1993), can replicate the empirical long-memory properties of the two first-conditional moments of financial time series … series of absolute returns do not display a trend. Furthermore, this class of models is able to replicate the common long-memory … relative performance of these tests and estimators for long memory in a nonstandard data-generating process is then assessed. …

Persistent link: https://www.econbiz.de/10004966219