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Is Market Fear Persistent? A Long-Memory Analysis?

Caporale, Guglielmo Maria - 2017

This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the sample period 2004-2016, as well as some...

Persistent link: https://www.econbiz.de/10012951779

On the Persistence of UK Inflation : A Long-Range Dependence Approach

Caporale, Guglielmo Maria - 2018

This paper examines the degree of persistence in UK inflation by applying long-memory methods to historical data that span the period from 1660 to 2016. Specifically, we use both parametric and non-parametric fractional integration techniques, that are more general than those based on the...

Persistent link: https://www.econbiz.de/10012917992

Markov-Switching and the IFO Business Climate : The IFO Business Cycle Traffic Lights

Abberger, Klaus - 2010

Business cycle indicators are used to assess the economic situation of countries or regions. They are closely watched by the public, but are not easy to interpret. Does a current movement of the indicator signal a turning point or not? With the help of Markov Switching Models movements of...

Persistent link: https://www.econbiz.de/10013148053

Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate

Caporale, Guglielmo Maria - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10013082343

Multi-Factor Gegenbauer Processes and European Inflation Rates

Caporale, Guglielmo Maria - 2014

In this paper we specify a multi-factor long-memory process that enables us to estimate the fractional differencing parameters at each frequency separately, and adopt this framework to model quarterly prices in three European countries (France, Italy and the UK). The empirical results suggest...

Persistent link: https://www.econbiz.de/10013071161

The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature

Bloechl, Andreas - 2014

In this paper we use the Hodrick-Prescott filter for analyzing global temperature data. We are especially concerned with a reliable estimation of the trend component at the end of the data sample. To this end we employ time-varying values for the penalization parameter. The optimal values are...

Persistent link: https://www.econbiz.de/10013059501

Testing Unemployment Theories : A Multivariate Long Memory Approach

Caporale, Guglielmo Maria - 2014

This paper investigates the empirical relevance of different unemployment theories in three major economies, namely the UK, the US and Japan, by estimating the degree of dependence in the unemployment series. Both univariate and multivariate long memory methods are used. The results vary...

Persistent link: https://www.econbiz.de/10013060039

Fractional Integration and Cointegration in US Financial Time Series Data

Caporale, Guglielmo Maria - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10013126003

Long Memory with Markov-Switching GARCH

Kraemer, Walter - 2008

The paper considers the Markov-Switching GARCH(1,1)-model with time-varying transition probabilities. It derives sufficient conditions for the square of the process to display long memory and provides some additional intuition for the empirical observation that estimated GARCH-parameters often...

Persistent link: https://www.econbiz.de/10012772611

The Role of the Log Transformation in Forecasting Economic Variables

Lütkepohl, Helmut - 2009

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this … beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. It is found that it … substantial forecasting improvements from taking logs are found if the log transformation actually stabilizes the variance of the …

Persistent link: https://www.econbiz.de/10012764276