Search Results - subject:"STATIONARITY"

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Department of Economics and Finance, College of … - 2010

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10008752709

Time-varying autoregressive conditional duration model

Bortoluzzo, Adriana; Morettin, Pedro; Toloi, Clelia - In: Journal of Applied Statistics 37 (2010) 5, pp. 847-864

The main goal of this work is to generalize the autoregressive conditional duration (ACD) model applied to times between trades to the case of time-varying parameters. The use of wavelets allows that parameters vary through time and makes possible the modeling of non-stationary processes without...

Persistent link: https://www.econbiz.de/10008674947

Are Real Exchange Rates Mean Reverting in Developing Economies in Asia? A Covariate Stationarity Approach

Tsong, Ching-Chuan - In: International Economic Journal 24 (2010) 3, pp. 397-412

Previous studies on the stationarity properties of the real exchange rates in developing countries in Asia have …) hypothesis. This study examines international data on 15 developing countries by employing the covariate stationarity test …

Persistent link: https://www.econbiz.de/10008681196

The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian Economies

Holmes, Mark J.; Panagiotidis, Theodore; Otero, Jesus - 2010

stationarity testing procedure is employed that addresses both structural breaks and cross-sectional dependence. Asian term …

Persistent link: https://www.econbiz.de/10008690927

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

McAleer, Michael; Caporin, Massimiliano - Department of Economics and Finance, College of … - 2010

Persistent link: https://www.econbiz.de/10008465226

A primer for unit root testing

Patterson, Kerry D. - 2010

Persistent link: https://www.econbiz.de/10001756477

Are EU budget deficits stationary?

Holmes, Mark; Otero, Jesús; Panagiotidis, Theodore - In: Empirical Economics 38 (2010) 3, pp. 767-778

Persistent link: https://www.econbiz.de/10008515517

A Primer for Unit Root Testing

Patterson, Kerry - 2010

This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing …

Persistent link: https://www.econbiz.de/10012106206

Closing small open economy models

Schmitt-Grohe, Stephanie; Uribe, Martín - 2001

been proposed to induce stationarity. This paper presents a quantitative comparison of these alternative approaches. Five … asset markets; (5) A model without stationarity-inducing features. The main finding of the paper is that all models deliver …

Persistent link: https://www.econbiz.de/10010318376

Stationarity and the existence of moments of a family of GARCH processes

Ling, Shiqing; MacAleer, Michael - 2001

process started at some finite value infinitely many periods ago. Moreover, the conditions for the strict stationarity of the …

Persistent link: https://www.econbiz.de/10010332324