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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - Department of Economics and Finance, College of … - 2012

This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton, orange juice, Kansas City wheat, rubber, and...

Persistent link: https://www.econbiz.de/10010548109

Una extension de la regresion propuesta por Geweke y Porter-Hudak para la estimacion del orden de diferenciacion en modelos ARFIMA

Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2000

Over the last years there has been considerable interest in the application of long memory time series models in economics using ARFIMA models. Nowadays, the most popular estimator of the difference parameter in economic applications is that proposed by Geweke and Porter-Hudak (GPH) although has...

Persistent link: https://www.econbiz.de/10005022322

An analysis of inflation rates in the european union using wavelets: strong evidence against unit roots

Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 2002

In many fields of economic analysis the order of integration of some economic magnitudes is of particular interest. Among other aspects, the order of integration determines the degree of persistence of that magnitude. The rate of inflation is a very interesting example because many contradictory...

Persistent link: https://www.econbiz.de/10005022343

Consecuencias de la modelizacion ARIMA para la extraccion de senales en coyuntura

Fanals, Ernest Pons; Caralt, Jordi Surinach - Facultat d'Economia i Empresa, Universitat de Barcelona - 1999

In short-term evolution analysis, the economic time series are contamined by different types of noises which need to be erased in order to extract a trend signal. In the last years there has been increasingly developed some methods to estimate unobserved components based on the assumption that...

Persistent link: https://www.econbiz.de/10005022353

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Department of Economics and Finance, College of … - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10008553000

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Chang, Chia-Lin; McAleer, Michael; Lim, Christine - Department of Economics and Finance, College of … - 2010

use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby …

Persistent link: https://www.econbiz.de/10008527482

Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - Department of Economics and Finance, College of … - 2013

The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to...

Persistent link: https://www.econbiz.de/10010907445

Modelling Conditional Correlations in the Volatility of Asian Rubber Spot and Futures Returns

Chang, Chia-Lin; Khamkaew, Thanchanok; McAleer, Michael; … - Department of Economics and Finance, College of … - 2010

the VARMA-GARCH model and the VARMA-AGARCH model suggest the presence of volatility spillovers and asymmetric effects of …

Persistent link: https://www.econbiz.de/10008568097

Cliometrics and Time Series Econometrics: Some Theory and Applications

Grreasley, David - Department of Economics and Finance, College of … - 2010

The paper discusses a range of modern time series methods that have become popular in the past 20 years and considers their usefulness for cliometrics research both in theory and via a range of applications. Issues such as, spurious regression, unit roots, cointegration, persistence, causality,...

Persistent link: https://www.econbiz.de/10008455450

Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012

Macroeconomic forecasts are frequently produced, widely published, inten¬sively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...

Persistent link: https://www.econbiz.de/10010556072