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New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach

SULEIMANN, Ryan - EconWPA - 2003

The episodes of stock market crises in Europe and the U.S.A. since the year 2000,and the fragility of the New Technology sector after the explosion of the speculative bubble,have sparked the interest of researchers in understanding and in modeling this market’s high volatility to prevent...

Persistent link: https://www.econbiz.de/10005119158

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure … most papers in the parametric causality literature, we are interested in whether money ever "causes" (can ever be used to … characterizations of causality chains which help to distinguish between mere noncausation (the total absence of indirect causal routes …

Persistent link: https://www.econbiz.de/10005119144

The evolving transmission of uncertainty shocks in the United Kingdom

Mumtaz, Haroon - In: Econometrics 4 (2016) 1, pp. 1-18

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...

Persistent link: https://www.econbiz.de/10011755323

Credible Granger-causality inference with modest sample lengths: A cross-sample validation approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit … terms of power relative to the in-sample Granger-causality F test, is manageable. An illustrative application is given, to a …

Persistent link: https://www.econbiz.de/10010421306

Unit root tests: The role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 4 (2016) 2, pp. 1-11

In cointegration analysis, it is customary to test the hypothesis of unit roots separately for each single time series. In this note, we point out that this procedure may imply large size distortion of the unit root tests if the DGP is a VAR. It is well-known that univariate models implied by a...

Persistent link: https://www.econbiz.de/10011755326

Oil price and economic growth: A long story?

Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics 4 (2016) 4, pp. 1-28

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

Persistent link: https://www.econbiz.de/10011755344

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or … volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … (1996). A subsequent development was the Lagrange Multiplier (LM) test of non-causality in the conditional variance by …

Persistent link: https://www.econbiz.de/10011755368

On detecting and modeling periodic correlation in financial data

Broszkiewicz-Suwaj, Ewa; Makagon, Andrzej; Weron, Rafal; … - EconWPA - 2005

For many economic problems standard statistical analysis, based on the notion of stationarity, is not adequate. These include modeling seasonal decisions of consumers, forecasting business cycles and - as we show in the present article - modeling wholesale power market prices. We apply standard...

Persistent link: https://www.econbiz.de/10005407946

An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle

Corradini, Riccardo - EconWPA - 2005

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for...

Persistent link: https://www.econbiz.de/10005407948

What causes the forecasting failure of Markov-Switching models? A Monte Carlo study

Bessec, Marie; Bouabdallah, Othman - EconWPA - 2005

This paper explores the forecasting abilities of Markov-Switching models. Although MS models generally display a superior in-sample fit relative to linear models, the gain in prediction remains small. We confirm this result using simulated data for a wide range of specifications by applying...

Persistent link: https://www.econbiz.de/10005556398