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Is There a Trend Break in U.S. GNP? A Macroeconomic Perspective
Kilian, Lutz - 2008
theory, however, suggests that these events have large transitory, rather than permanent, effects on economic activity …
Persistent link: https://www.econbiz.de/10012770690
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - 2014
-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root …
Persistent link: https://www.econbiz.de/10010375374
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …
Persistent link: https://www.econbiz.de/10011350381
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082098
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013
. -- High frequency data ; long memory ; volatility persistence ; structural breaks …
Persistent link: https://www.econbiz.de/10009735715
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Unit roots and long-run causality : investigating the relationship between output, money and interest rates
Caporale, Guglielmo Maria - In: Economic modelling 15 (1998) 1, pp. 91-112
Persistent link: https://www.econbiz.de/10001247848
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Seeing inside the black box : using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.
stock price indices and dividend series; a 1-year Treasury bond rate; various housing activity variables; industrial … production; and exchange rates. -- diffusion index ; factor ; forecast ; macroeconometrics ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130733
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Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman R. - 2011
(2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price …
Persistent link: https://www.econbiz.de/10009151972
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - In: Applied financial economics 21 (2011) 1/3, pp. 43-60
Persistent link: https://www.econbiz.de/10009124680