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Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...

Persistent link: https://www.econbiz.de/10009578029

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...

Persistent link: https://www.econbiz.de/10009579181

On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

It has long been recognized that aggregating time series introduces correlation between consecutive values of the aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables assuming that the data generating process involves...

Persistent link: https://www.econbiz.de/10009620772

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

In this paper we decompose the Serial Correlation Common Feature (SCCF) of Engle and Kozicki (1993) in the frequency domain. A collection of time series is said to share a common cycle if there exists a linear combination of the predicted series with a zero spectral density at some frequency....

Persistent link: https://www.econbiz.de/10009612024

Unemployment and input prices : a fractional cointegration approach

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...

Persistent link: https://www.econbiz.de/10009614880

Heteroskedastic Proxy Vector Autoregressions

Lütkepohl, Helmut - 2020

In proxy vector autoregressive models, the structural shocks of interest are identified by an instrument. Although heteroskedasticity is occasionally allowed for, it is typically taken for granted that the impact effects of the structural shocks are time-invariant despite the change in their...

Persistent link: https://www.econbiz.de/10012830259

Bootstrapping Impulse Responses of Structural Vector Autoregressive Models Identified Through GARCH

Lütkepohl, Helmut - 2018

generalized autoregressive conditional heteroskedastic (GARCH) innovations. The bootstrap methods considered are a wild bootstrap …, a moving blocks bootstrap and a GARCH residual based bootstrap. Estimation is done by Gaussian maximum likelihood, a … simplified procedure based on univariate GARCH estimations and a method that does not re-estimate the GARCH parameters in each …

Persistent link: https://www.econbiz.de/10012913245

Estimation of Structural Impulse Responses : Short-Run Versus Long-Run Identifying Restrictions

Lütkepohl, Helmut - 2017

There is evidence that estimates of long-run impulse responses of structural vector autoregressive (VAR) models based on long-run identifying restrictions may not be very accurate. This finding suggests that using short-run identifying restrictions may be preferable. We compare structural VAR...

Persistent link: https://www.econbiz.de/10012962687

Structural Vector Autoregressions with Heteroskedasticity : A Comparison of Different Volatility Models

Luetkepohl, Helmut - 2015

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive (VAR) analysis. A number of different models for heteroskedasticity or conditional heteroskedasticity are proposed and used in applications in this context. This study reviews the...

Persistent link: https://www.econbiz.de/10013024767