Showing 1 - 10 of 192
The study provides evidence in favor of the price range as a proxy estimator of volatility in financial time series, in the cases that either intra-day datasets are unavailable or they are available at a low sampling frequency.
Persistent link: https://www.econbiz.de/10010608267
Various forms of instability can be observed in macroeconomic and financial data including changes in variance, changes in cycle properties, or both. Traditional tests do not allow to distinguish between these different cases. This paper proposes and compares two alternative approaches. The...
Persistent link: https://www.econbiz.de/10010636253
In this paper, we assess the size and power properties of Inclan and Tiao's (1994) Iterated Cumulative Sum of Squares (IT ICSS) algorithm for detecting sudden changes in volatility. We make use of the variance estimator that utilizes high, low and closing prices proposed by Rogers and Satchell...
Persistent link: https://www.econbiz.de/10010636303
Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range...
Persistent link: https://www.econbiz.de/10011048839
In this paper we discuss the calibration issues of power models built on mean-reverting processes combined with long memory. The unknown parameters of fractional mean-reversion processes are estimated by a hybrid estimation method, which is built upon the marriage of the quadratic variation and...
Persistent link: https://www.econbiz.de/10011048787
Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas critique and fails to take into account the inherent nonlinearities of the...
Persistent link: https://www.econbiz.de/10011048862
Owing to the vague fluctuation of energy prices from time to time, a new energy model, which considers both the mean-reverting behavior and the long memory property, is proposed in this paper. Since the problem of estimating parameters, in discrete time for this model, plays a central role in...
Persistent link: https://www.econbiz.de/10010597504
I consider a bivariate stationary fractional cointegration system and I propose a quasi-maximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte...
Persistent link: https://www.econbiz.de/10010709338
In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov...
Persistent link: https://www.econbiz.de/10011048681
The objective of this paper is to examine the government revenue and expenditure relationship in the context of what is known as the soft and hard budget constraint strategy. We adopt a nonlinear framework with structural breaks and focus our empirical analysis in three countries. Two of them...
Persistent link: https://www.econbiz.de/10011048849