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Regime-Switching and the Estimation of Multifractal Processes

Calvet, Laurent E.; Fisher, Adlai - 2021

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

Persistent link: https://www.econbiz.de/10013227022

A Model-Based Evaluation of the Debate on the Size of the Tax Multiplier

Chahrour, Ryan - 2010

The SVAR and narrative approaches to estimating tax multipliers deliver significantly different results. The former yields multipliers of about 1 percent, whereas the latter produces much larger multipliers of about 3 percent. The SVAR and narrative approaches differ along two important...

Persistent link: https://www.econbiz.de/10013141281

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Getmansky Sherman, Mila - 2010

The returns to hedge funds and other alternative investments are often highly serially correlated in sharp contrast to the returns of more traditional investment vehicles such as long-only equity portfolios and mutual funds. In this paper, we explore several sources of such serial correlation...

Persistent link: https://www.econbiz.de/10012762841

Trading Volume and Serial Correlation in Stock Returns

Campbell, John Y. - 2012

This paper investigates the relationship between stock market trading volume and the autocorrelations of daily stock index returns. The paper finds that stock return autocorrelations tend to decline with trading volume. The paper explains this phenomenon using a model in which risk-averse...

Persistent link: https://www.econbiz.de/10012755947

Forecasts in a Slightly Misspecified Finite Order VAR

Müller, Ulrich K. - 2011

We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...

Persistent link: https://www.econbiz.de/10013131235

Factor Momentum and the Momentum Factor

Ehsani, Sina - 2019

Momentum in individual stock returns emanates from momentum in factor returns. Most factors are positively autocorrelated: the average factor earns a monthly return of 1 basis point following a year of losses and 53 basis points following a positive year. Factor momentum explains all forms of...

Persistent link: https://www.econbiz.de/10012892574

Is the Spurious Regression Problem Spurious?

McCallum, Bennett T. - 2010

accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an … investigation with such a result, but would likely re-estimate with an autocorrelation correction. Simulations show, for several …

Persistent link: https://www.econbiz.de/10013148388

The Dynamics of Housing Prices

Titman, Sheridan - 2014

We analyze the prices of owner-occupied housing in 97 metropolitan areas between 1980 and 2011. Our tests indicate that price changes exhibit positive serial correlation at the one year intervals, with subsequent reversals of price changes over longer intervals. Consistent with our simple model,...

Persistent link: https://www.econbiz.de/10013048055

Generalized Moments Estimation for Panel Data

Druska, Viliam; Horrace, William C. - 2021

This paper considers estimation of a panel data model with disturbances that are autocorrelated across cross-sectional units. It is assumed that the disturbances are spatially correlated, based on some geographic or economic proximity measure. If the time dimension of the data is large, feasible...

Persistent link: https://www.econbiz.de/10013232767

Estimating Autocorrelations in Fixed-Effects Models

Solon, Gary - 2021

series data, longitudinal data often contain serially correlated error terms, but the autocorrelation estimators commonly …'s method of correcting for the inconsistency of autocorrelation estimators by generalizing to higher than first … facilitate the identification and estimation of autocorrelation processes in both the generalized Nickell method and an …

Persistent link: https://www.econbiz.de/10013217239