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Chapter 11 Forecasting with Trending Data

Elliott, Graham - 2006

really have unit roots in the data. This uncertainty is practical – for many macroeconomic and financial variables theory … models as well as examine the effects of erroneously assuming cointegration. It is shown that inconclusive theoretical … imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …

Persistent link: https://www.econbiz.de/10014023695

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different type of situations in which cointegration can …

Persistent link: https://www.econbiz.de/10011499608

Automatic identification of general vector error correction models

Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016

There are a number of econometrics tools to deal with the different types of situations in which cointegration can …

Persistent link: https://www.econbiz.de/10011554319

Time Varying Cointegration and the UK Great Ratios

Kapetanios, George - 2018

cointegration when parameters are constant, but strong evidence when allowing for time variation. The implications are that in …

Persistent link: https://www.econbiz.de/10012909076

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intraday transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...

Persistent link: https://www.econbiz.de/10009615120

Time-varying Cointegration and the UK Great Ratios

Kapetanios, George - 2019

little evidence for cointegration when parameters are constant, but strong evidence when allowing for time variation. The …

Persistent link: https://www.econbiz.de/10012872112

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

approach requires careful specification of the integration and cointegration properties of variables in systems of equations …

Persistent link: https://www.econbiz.de/10012726093

Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

Hautsch, Nikolaus - 2013

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intra-day transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...

Persistent link: https://www.econbiz.de/10013077175

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Baruník, Jozef - 2013

This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...

Persistent link: https://www.econbiz.de/10013090381