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The impact of the Covid-19 pandemic on persistence in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Arrese … - 2021

This paper analyses the impact of the Covid-19 pandemic on the degree of persistence of European stock markets. Specifically, it uses fractional integration methods to estimate persistence at the daily, weekly and monthly frequencies in the case of ten major European stock market indices; the...

Persistent link: https://www.econbiz.de/10012653308

Distinguishing between long-range dependence and deterministic trends

Sibbertsen, Philipp; Venetis, Ioannis - 2003

We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...

Persistent link: https://www.econbiz.de/10010509839

Will the (German) NAIRU please stand up?

Franz, Wolfgang - 2003

This paper deals with a critical assessment and a reestimation of the "non-accelerating in ation rate of unemployment …

Persistent link: https://www.econbiz.de/10011448601

Constructing a new leading indicator for unemployment from a survey among German employment agencies

Hutter, Christian; Weber, Enzo - 2013

forecasting German unemployment in the short run. Every month, the CEOs of the FEA’s regional agencies are asked about their … expectations of future labor market developments. We generate an aggregate unemployment leading indicator that exploits serial …

Persistent link: https://www.econbiz.de/10010198066

Long Cycles Revisited. An Essay in Econometric History.

Diebolt, Claude - Association Française de Cliométrie - AFC - 2005

This paper presents a cliometric application of fractional integrated processes to socio-economic time series for France and Germany in the 19th and 20th centuries. The analysis leads to a significant result: no short or long term cycle appears as the dominant constituent.

Persistent link: https://www.econbiz.de/10005770657

Google Econometrics and Unemployment Forecasting

Askitas, Nikos; Zimmermann, Klaus F. - 2012

. It demonstrates strong correlations between keyword searches and unemployment rates using monthly German data and …

Persistent link: https://www.econbiz.de/10014203572

Google Econometrics and Unemployment Forecasting

Askitas, Nikos; Zimmermann, Klaus F. - 2012

. It demonstrates strong correlations between keyword searches and unemployment rates using monthly German data and …

Persistent link: https://www.econbiz.de/10014204438

Evaluating the Persistence and Structuralist Theories of Unemployment from a Nonlinear Perspective

Fuertes, Ana María; Coakley, Jerry; Gylfi Zoega - 2002

This paper assesses empirically two competing accounts of high unemployment, the structuralist and persistence theories …. It identifies one structural break in UK and German unemployment around 1980 which is more severe in both absolute and … is used to capture fast-up, slow-down unemployment dynamics. Impulse response functions suggest that the half-lives of …

Persistent link: https://www.econbiz.de/10014123187

Analysis of Hysteresis in Unemployment Rates With Structural Breaks : The Case of Selected European Countries

Marjanovic, Gordana; Mihajlovic, Vladimir - 2021

In recent years, unemployment has become a major problem in many countries. The fluctuations of the unemployment rate … appropriate policy measures, it is necessary to know the exact character of the unemployment in the observed country – is it … behavior of the unemployment rates – the concept of the natural rate of unemployment or hysteresis hypothesis. The character of …

Persistent link: https://www.econbiz.de/10013240041

Google Econometrics and Unemployment Forecasting

Askitas, Nikos - 2012

. It demonstrates strong correlations between keyword searches and unemployment rates using monthly German data and …

Persistent link: https://www.econbiz.de/10013117001