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Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development

Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2005

The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That … is why we use them to probe the different degree of markets development. We empirically study the scaling properties of … show that the scaling exponents are associated with characteristics of the specific markets and can be used to …

Persistent link: https://www.econbiz.de/10005119145

A spectral model of turnover reduction

Kakushadze, Zura - In: Econometrics 3 (2015) 3, pp. 577-589

We give a simple explicit formula for turnover reduction when a large number of alphas are traded on the same execution platform and trades are crossed internally. We model turnover reduction via alpha correlations. Then, for a large number of alphas, turnover reduction is related to the largest...

Persistent link: https://www.econbiz.de/10011755294

Estimating unobservable inflation expectations in the New Keynesian Phillips Curve

Rondina, Francesca - In: Econometrics 6 (2018) 1, pp. 1-20

This paper uses an econometric model and Bayesian estimation to reverse engineer the path of inflation expectations implied by the New Keynesian Phillips Curve and the data. The estimated expectations roughly track the patterns of a number of common measures of expected inflation available from...

Persistent link: https://www.econbiz.de/10011995207

Micro-macro connected stochastic dynamic economic behavior systems

Judge, George - In: Econometrics 6 (2018) 4, pp. 1-14

In this paper, we borrow some of the key concepts of nonequilibrium statistical systems, to develop a framework for analyzing a self-organizing-optimizing system of independent interacting agents, with nonlinear dynamics at the macro level that is based on stochastic individual behavior at the...

Persistent link: https://www.econbiz.de/10011995232

Testing for a set of linear restrictions in VARMA models using autoregressive metric: An application to Granger causality test

DiIorio, Francesca; Triacca, Umberto - In: Econometrics 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10011755267

A pitfall in using the characterization of Granger non-gausality in vector autoregressive models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

Persistent link: https://www.econbiz.de/10011755279

Is Benford's law a universal behavioral theory?

Villas-Boas, Sofia B.; Fu, Qiuzi; Judge, George - In: Econometrics 3 (2015) 4, pp. 698-708

In this paper, we consider the question and present evidence as to whether or not Benford's exponential first significant digit (FSD) law reflects a fundamental principle behind the complex and nondeterministic nature of large-scale physical and behavioral systems. As a behavioral example, we...

Persistent link: https://www.econbiz.de/10011755306

Measuring the distance between sets of ARMA models

Triacca, Umberto - In: Econometrics 4 (2016) 3, pp. 1-11

A distance between pairs of sets of autoregressive moving average (ARMA) processes is proposed. Its main properties are discussed. The paper also shows how the proposed distance finds application in time series analysis. In particular it can be used to evaluate the distance between portfolios of...

Persistent link: https://www.econbiz.de/10011755338

Econometric information recovery in behavioral networks

Judge, George - In: Econometrics 4 (2016) 3, pp. 1-11

In this paper, we suggest an approach to recovering behavior-related, preference-choice network information from observational data. We model the process as a self-organized behavior based random exponential network-graph system. To address the unknown nature of the sampling model in recovering...

Persistent link: https://www.econbiz.de/10011755342

The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation

Amano, Robert A.; Wirjanto, Tony S. - EconWPA - 1994

We examine the ability of the simple linear-quadratic model under rational expectations to explain dynamic behaviour of aggregate Canadian imports. In contrast to authors of previous studies who examine dynamic behaviour using the LQ model, we estimate the structural parameters using the Euler...

Persistent link: https://www.econbiz.de/10005407876