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High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model

Song, Song; Härdle, Wolfgang Karl; Ritov, Ya'acov - 2010

(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...

Persistent link: https://www.econbiz.de/10010281515

Statistical modelling of temperature risk

Anastasiadou, Zografia; López-Cabrera, Brenda - 2012

model describes well the stylised facts of temperature: seasonality, intertemporal correlations and the heteroscedastic …

Persistent link: https://www.econbiz.de/10010318774

Implied market price of weather risk

Härdle, Wolfgang Karl; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10010274151

Localising temperature risk

Härdle, Wolfgang Karl; López Cabrera, Brenda; Okhrin, … - 2010

temperature dynamics is a stochastic model with seasonality and inter temporal autocorrelation. Empirical work based on … seasonality and autocorrelation correction reveals that the obtained residuals are heteroscedastic with a periodic pattern. The … optimal smoothing parameter to locally estimate the seasonality and volatility. Our approach provides a more flexible and …

Persistent link: https://www.econbiz.de/10010281518

Does umbrella branding really work? Investigating cross-category brand loyalty

Silberhorn, Nadja; Hildebrandt, Lutz - 2012

Numerous studies on the drivers of brand extension success [Aaker and Keller, 1990, Broniarczyk and Alba, 1994, Hem et al., 2003, Völckner and Sattler, 2006] found evidence that parent-brand characteristics and the fit between parent brand and transfer product are the main and most influential...

Persistent link: https://www.econbiz.de/10010318780

Volatility of price indices for heterogeneous goods

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012

Price indices for heterogenous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investments in times of financial markets turmoil. Classical mean-variance analysis of alternative investments has been hampered by...

Persistent link: https://www.econbiz.de/10010318789

Fair re-valuation of wine as an investment

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2013

The prices of wine is a key topic for market participants interested in valuing their stock, including dealers, restaurants or consumers who may be interested in optimizing their purchases. As a closely related issue, re-valuation is the need to regularly update the value of a stock. This need...

Persistent link: https://www.econbiz.de/10010319203

The U.S. business cycle, 1867-1995: Dynamic factor analysis vs. reconstructed national accounts

Ritschl, Albrecht; Sarferaz, Samad; Uebele, Martin - 2008

This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a Bayesian dynamic factor model to obtain aggregate and sectoral economic activity indices. We find a remarkable increase in volatility across World War I, which is reversed...

Persistent link: https://www.econbiz.de/10010263751

The information content of monetary statistics for the Great Recession: Evidence from Germany

Chen, Wenjuan; Nautz, Dieter - 2015

This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and...

Persistent link: https://www.econbiz.de/10011335475

Econometric analysis of volatile art markets

Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical...

Persistent link: https://www.econbiz.de/10010281564