In this paper a robust data-driven procedure for decomposing seasonal time series based on a generalized Berlin Method (BV, Berliner Verfahren) as proposed by Heiler and Michels (1994) is discussed. The basic robust algorithm used here is an adaptation of the LOWESS (LOcally Weighted Scatterplot...

A new multivariate random walk model with slowly changing drift and cross-correlations for multivariate processes is introduced and investigated in detail. In the model, not only the drifts and the cross-covariances but also the cross-correlations between single series are allowed to change...

Published in China Agricultural Economic Review

Realized kernels introduced by Barndorff-Nielsen et al. (2008) are consistent estimators of the daily integrated volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the bandwidth. This paper proposes an iterative plug-in...

Duration series often exhibit long-range dependence and local nonstationarities. Here, exponential FARIMA (EFARIMA) and exponential SEMIFAR (ESEMIFAR) models are introduced. These models capture simultaneously nonstationarities in the mean as well as short- and long-range dependence, while...

This paper discusses the detailed performance of an iterative plug-in (IPI) bandwidth selector for estimating the diurnal duration pattern in a recently proposed semiparametric autoregressive conditional duration (SemiACD) model. For this purpose an alternative formula of the asymptotically...

This paper introduces a tree-form constant market share (CMS) model for analyzing growth causes in international trade based on multi-level classification. The tree- form CMS is a collection of CMS models at different levels, including the entire, branch- and leaf-models, which consists of a...

This paper introduces a spatial framework for high-frequency returns and a faster double-conditional smoothing algorithm to carry out bivariate kernel estimation of the volatility surface. A spatial multiplicative component GARCH with random effects is proposed to deal with multiplicative random...

Impact of China's accession to WTO and the financial crisis on China's exports to Germany