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Nonlinearity induced weak instrumentation

Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos - In: Econometric reviews 33 (2014) 5/6, pp. 676-712

Persistent link: https://www.econbiz.de/10010363893

Bubbles and the Weibull distribution : was there an explosive bubble in US stock prices before the global economic crisis?

Yuhn, Ky-hyang; Kim, Sang Bong; Nam, Chu-ha - In: Applied economics 47 (2015) 1/3, pp. 255-271

Persistent link: https://www.econbiz.de/10010463934

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Persistent link: https://www.econbiz.de/10010484411

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095

Characterizing economic trends by Bayesian stochastic model specification search

Grassi, Stefano; Proietti, Tommaso - 2010

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

Persistent link: https://www.econbiz.de/10011524121

A linear model for determinants of NIFTY based on co-integrated variables

Subathra, R.; Mohideen, A. Kachi - In: International journal of economics and business research 11 (2016) 3, pp. 183-194

Persistent link: https://www.econbiz.de/10011589474

Are prices of New dwellings different? : a spectral analysis of UK property vintages

Gray, David - In: Cogent economics & finance 3 (2015) 1, pp. 1-15

The work makes two contributions to the literature on dynamic house prices. First, a house price ripple in cycles from Modern to Older dwellings is revealed and, second, as New housing is shown to have lower volatility than the other two. Using spectral analysis, it is argued that there is a 7...

Persistent link: https://www.econbiz.de/10010492378

A nonlinear pairwise approach for the convergence of UK regional house prices

Kyriazakou, Eleni; Panagiōtidēs, Theodōros - In: International economics and economic policy : IEEP 15 (2018) 2, pp. 467-481

Persistent link: https://www.econbiz.de/10011955307

Stationarity and invertibility of a dynamic correlation matrix

McAleer, Michael - 2017 - Revised: September 2017

the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …

Persistent link: https://www.econbiz.de/10011715983

A primer for unit root testing

Patterson, Kerry D. - 2010

Persistent link: https://www.econbiz.de/10001756477