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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011306665
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria
Yaya, OlaOluwa S.; Gil-Alana, Luis A.; Fashae, Oluwatoyin A. - Department of Economics, Faculty of Economic and … - 2015
This paper examines the time series properties of sea level rise and the surface temperature data along the Barrier Coast of Nigeria. In particular, we focus on the seasonality and the degree of persistence of the series, measured in terms of seasonal and non-seasonal unit roots along with...
Persistent link: https://www.econbiz.de/10011220718
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Modeling Persistence of Carbon Emission Allowance Prices
Gil-Alana, Luis A.; Gracia, Fernando Perez de; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the...
Persistent link: https://www.econbiz.de/10011202986
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Predicting BRICS Stock Returns Using ARFIMA Models
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2012
using a variety of estimation procedures yield better forecasting results than the non-ARFIMA (AR, MA, ARMA and GARCH …
Persistent link: https://www.econbiz.de/10010765632
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Testing for Persistence in Housing Price-to-Income and Price-to-Rent Ratios in 16 OECD Countries
Andre, Christophe; Gil-Alana, Luis A.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
Housing price-to-income and price-to-rent ratios are among the most widely monitored indicators of housing market conditions. While these ratios tend to fluctuate around a constant level or a mild trend over the long term, they also tend to deviate from these benchmarks for protracted periods....
Persistent link: https://www.econbiz.de/10010737581
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Testing for Persistence with Breaks and Outliers in South African House Prices
Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - School of Economics and Business Administration, … - 2012
This study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large,...
Persistent link: https://www.econbiz.de/10010595746
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Testing for Persistence with Breaks and Outliers in South African House Prices
Gil-Alana, Luis A.; Aye, Goodness C.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2012
This study examines the time series behaviour of South African house prices within a fractional integration modelling framework while identifying potential breaks and outliers. We used quarterly data on the six house price indexes, namely affordable, luxury, middle-segment (all sizes, large,...
Persistent link: https://www.econbiz.de/10010632923
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The relationship between healthcare expenditure and disposable personal income in the US states: A fractional integration and cointegration analysis
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2015
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and nonlinearity of both series are found to vary considerably across...
Persistent link: https://www.econbiz.de/10011279514
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The Relationship between Healthcare Expenditure and Disposable Personal Income in the US States: A Fractional Integration and Cointegration Analysis
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2015
This study examines the relationship between healthcare expenditure and disposable income in the 50 US states over the period 1966-2009 using fractional integration and cointegration techniques. The degree of integration and non-linearity of both series are found to vary considerably across...
Persistent link: https://www.econbiz.de/10011307067