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Chetverikov, Denis N.; Wilhelm, Daniel - 2023

Slope coefficients in rank-rank regressions are popular measures of intergenerational mobility, for instance in regressions of a child's income rank on their parent's income rank. In this paper, we first point out that commonly used variance estimators such as the homoskedastic or robust...

Persistent link: https://www.econbiz.de/10014480485

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

asymptotically valid for serially independent observations. Yet, in the presence of serial correlation they are markedly oversized as … confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By … relevance to account for serial correlation in economic time series when testing for the value of directional forecasts. …

Persistent link: https://www.econbiz.de/10010271838

Detecting Serial Dependence in Tail Events

Diks, Cees - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10010324850

Do survey indicators let us see the business cycle? A frequency decomposition

Dresse, Luc; Van Nieuwenhuyze, Christophe - 2008

This paper uses a frequency domain approach to gain insight into the correlation between survey indicators and year … of the correlation between survey indicators and year-on-year GDP growth at the different frequencies to explain their … overall correlation. We show that survey indicators, similar to year-on-year GDP growth, do not perfectly reflect business …

Persistent link: https://www.econbiz.de/10011506652

Goodness-of-fit tests for multiplicativemodels with dependent data

Dette, Holger; Pardo-Fernandez, Juan Carlos; van … - 2007

Persistent link: https://www.econbiz.de/10010298215

Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure

Amado, Cristina; Teräsvirta, Timo - 2008

In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...

Persistent link: https://www.econbiz.de/10010281252

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study

Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008

applicability of a multivariate constant conditional correlation version of the model to national stock market returns for eight …

Persistent link: https://www.econbiz.de/10011422185

Financial markets as a complex system: A short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10010301759

Latent variable analysis and partial correlation graphs for multivariate time series

Fried, Roland; Didelez, Vanessa - 2003

We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …

Persistent link: https://www.econbiz.de/10010306285