Search Results - subject:"fractional integration."

Non-negativity conditions for the hyperbolic GARCH model

Conrad, Christian - 2007

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p < 2 and sufficient for p > 2 and emerge as natural extensions of the inequality constraints derived in...</2>

Persistent link: https://www.econbiz.de/10010277770

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2007

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states … fractional integration, and thus that prices may be fractionally cointegrated. An empirical analysis using Nord Pool data shows …

Persistent link: https://www.econbiz.de/10005440060

Long range dependence and the purchasing power parity (in Russian)

Obrezkov, Oleg - In: Quantile (2007) 2, pp. 131-140

indirectly by estimating fractional integration orders of the aggregate price series in the two countries and nominal and real … view that aggregate price series are usually second-order integrated processes. The point estimate of the fractional … integration order for the log-difference in price levels in the US and Japan yields the figure 1.33 which is (statistically …

Persistent link: https://www.econbiz.de/10005385098

Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks

Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - CESifo - 2007

This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...

Persistent link: https://www.econbiz.de/10005405907

Effects of Exchange Rate Volatility on the Volume and Volatility of Bilateral Exports

Baum, Christopher F; Caglayan, Mustafa - Money Macro and Finance Research Group - 2007

We present an empirical investigation of a recently suggested but untested proposition that exchange rate volatility can have an impact on both the volume and variability of trade flows, considering a broad set of countries' bilateral real trade flows over the period 1980-1998. We generate...

Persistent link: https://www.econbiz.de/10004977138

Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets

Hassan, M. Kabir; Suk-Yu, Jung - Networks Financial Institute, Scott College of Business - 2007

evidence of rational speculative bubbles in the perspective of both domestic and U.S.-based investors. Fractional integration …

Persistent link: https://www.econbiz.de/10010817357

Real convergence in some emerging countries : a fractionally integrated approach

CUNADO, J.; GIL-ALANA, L.A.; GRACIA, F. PEREZ DE - Institut de Recherche Économique et Sociale (IRES), … - 2007

This article exanines the real convergence hypothesis in eleven emerging countries by means of fractionally integrated techniques. For this purpose, we examine the order of integration of the real GDP per capita series in Argentina. Brazil, Chile, Colombia, Mexico, Peru, Venezuela, India,...

Persistent link: https://www.econbiz.de/10004985396

Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - Economics Department, Queen's University - 2007

deviations during the last three decades. We employ a fractional integration framework, which provides a powerful tool to detect …

Persistent link: https://www.econbiz.de/10005688241

Non-negativity Conditions for the Hyperbolic GARCH Model

Conrad, Christian - KOF Swiss Economic Institute, Department of Management, … - 2007

In this article we derive conditions which ensure the non-negativity of the conditional variance in the Hyperbolic GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and suffcient for p < 2 and suffcient for p > 2 and emerge as natural extensions of the inequality constraints derived in...</2>

Persistent link: https://www.econbiz.de/10005731526

A Multivariate Long-Memory Model with Structural Breaks

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - CESifo - 2007

This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...

Persistent link: https://www.econbiz.de/10005196239