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Using mean reversion as a measure of persistence

Dias, Daniel; Robalo Marques, Carlos - 2005

This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made...

Persistent link: https://www.econbiz.de/10011604496

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011

This paper examines several US monthly financial time series data using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with...

Persistent link: https://www.econbiz.de/10010274802

On mean reversion in real interest rates: An application of threshold cointegration

Jumah, Adusei; Kunst, Robert M. - 2002

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

Persistent link: https://www.econbiz.de/10010292774

Fractional integration and cointegration in US financial time series data

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2011

Persistent link: https://www.econbiz.de/10010286312

Panel regression with random noise

Ronning, Gerd; Schneeweiss, Hans - 2009

The paper explores the effect of measurement errors on the estimation of a linear panel data model. The conventional … fixed effects estimator, which ignores measurement errors, is biased. By correcting for the bias one can construct …

Persistent link: https://www.econbiz.de/10010264605

A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function

Behr, Andreas - 2003

estimator is biased in the context of dynamic estimation. The estimators taking into account the resulting bias can be grouped … broadly into the class of instrumental estimators and the class of direct bias corrected estimators. The simulation results … clearly favour the direct bias corrected estimators, especially the estimator proposed by Hansen (2001). The superiority of …

Persistent link: https://www.econbiz.de/10010295751

Incorporating the dynamics of leverage into default prediction

Löffler, Gunter; Maurer, Alina - 2009

A firm's current leverage ratio is one of the core characteristics of credit quality used in statistical default prediction models. Based on the capital structure literature, which shows that leverage is mean-reverting to a target leverage, we forecast future leverage ratios and include them in...

Persistent link: https://www.econbiz.de/10010263767

Impact of voucher design on public school performance: Evidence from Florida and Milwaukee voucher programs

Chakrabarti, Rajashri - 2008

-in-differences estimation strategy in trends, it then shows that these predictions are validated empirically. These findings are reasonably …

Persistent link: https://www.econbiz.de/10010283526

Labor-force participation rates and the informal value of unemployment rates: Evidence from disaggregated US data

Gustavsson, Magnus; Österholm, Pär - 2010

The informational value of the aggregate US unemployment rate has recently been questioned because of a unit root in the labor-force participation rate; the lack of mean reversion implies that long-run changes in unemployment rates are highly unlikely to reflect long-run changes in joblessness....

Persistent link: https://www.econbiz.de/10010321459

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211