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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10005137234

Long Memory and Level Shifts: Re-Analyzing Inflation Rates

Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - Tinbergen Institute - 1998

<p>A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...</p>

Persistent link: https://www.econbiz.de/10005209483

Forecasting Volatility with Copula-Based Time Series Models

Sokolinskiy, Oleg; Dijk, Dick van - Tinbergen Institute - 2011

This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and long-memory type behavior in a flexible yet parsimonious...

Persistent link: https://www.econbiz.de/10009293998

Convergence, Shocks and Poverty

Elbers, Chris; Gunning, Jan Willem; Kinsey, Bill - Tinbergen Institute - 2002

Using a unique panel data set for rural households in Zimbabwe we estimate a

Persistent link: https://www.econbiz.de/10005504912

Sectoral Energy- and Labour-Productivity Convergence

Mulder, Peter; Groot, Henri L.F. de - Tinbergen Institute - 2004

-country variation in productivity performance depends on the level of aggregation. Both patterns of convergence as well as divergence …This paper provides an empirical analysis of energy- and labour-productivity convergence at a detailed sectoral level … for 14 OECD countries, covering the period 1970-1997. A fã-convergence analysis shows that the development of cross …

Persistent link: https://www.econbiz.de/10005795576

Defining European Wholesale Electricity Markets: An “And/Or” Approach

Dijkgraaf, Elbert; Janssen, Maarten C.W. - Tinbergen Institute - 2009

An important question in the dynamic European wholesale markets for electricity is whether to define the geographical market at the level of an individual member state or more broadly. We show that if we currently take the traditional approach by considering for each member state whether there...

Persistent link: https://www.econbiz.de/10008531429

Growth and Risk: Methodology and Micro Evidence

Elbers, Chris; Gunning, Jan Willem; Kinsey, Bill - Tinbergen Institute - 2003

There has been a revival of interest in the effect of risk on economic growth. We quantify both ex ante and ex post effects of risk using a stochastic version of the Ramsey model. We develop a simulation-based econometric methodology which allows us to estimate the model in the structural form...

Persistent link: https://www.econbiz.de/10005137127

Decoupling Economic Growth and Energy Use. An Empirical Cross-Country Analysis for 10 Manufacturing Sectors

Mulder, Peter; Groot, Henri L.F. de - Tinbergen Institute - 2004

This paper provides an empirical analysis of decoupling economic growth and energy use and its various determinants by exploring trends in energy- and labour productivity across 10 manufacturing sectors and 14 OECD countries for the period 1970-1997. We explicitly aim to trace back aggregate...

Persistent link: https://www.econbiz.de/10005137179

International Comparisons of Sectoral Energy- and Labour-Productivity Performance: Stylised Facts and Decomposition of Trends

Mulder, Peter; Groot, Henri L.F. de - Tinbergen Institute - 2004

This paper addresses the interplay between economic growth, energy use, change in sectoral composition and technological change, by exploring trends in energy- and labour productivity development for 14 OECD countries and four sectors over the period 1970-1997. A cross-country decomposition...

Persistent link: https://www.econbiz.de/10005144433

Global Aging and Economic Convergence: A Real Option or Still a Case of Science Fiction?

Dalen, Hendrik P. van - Tinbergen Institute - 2007

How does global aging affect the convergence in global economic development? Both the developing and developed world …

Persistent link: https://www.econbiz.de/10005144475