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

We propose a fast data-driven procedure for decomposing seasonal time series using the Berlin Method, the software used by the German Federal Statistical Office in this context. Formula of the asymptotic optimal bandwidth h_A is obtained. Meth- ods for estimating the unknowns in h_A are...