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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

Minimizing bias in selection on observables estimators when unconfoundness fails

Millimet, Daniel L. (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003738412

Minimizing bias in selection on observables estimators when unconfoundness fails

Millimet, Daniel L. (contributor); … - 2008

We characterize the bias of propensity score based estimators of common average treatment effect parameters in the case of selection on unobservables. We then propose a new minimum biased estimator of the average treatment effect. We assess the finite sample performance of our estimator using...

Persistent link: https://www.econbiz.de/10003747651

On the Macroeconomic Determinants of Long-Term Volatilities and Correlations in U.S. Stock and Crude Oil Markets

Conrad, Christian - 2014

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price … future economic activity are helpful predictors of changes in the oil-stock correlation. For the period 1993-2011 there is … strong evidence for counter cyclical behavior of the long-term correlation. For prolonged periods with strong growth above …

Persistent link: https://www.econbiz.de/10013066427

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

-varying correlation ; regime transition ; multivariate GARCH ; smooth transition ; cross-asset correlation ; non-linear estimation …The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying …

Persistent link: https://www.econbiz.de/10009625556

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10011346480

Testing for threshold effect in ARFIMA models : application to US unemployment rate data

Lahiani, Amine; Scaillet, Olivier - 2008

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional...

Persistent link: https://www.econbiz.de/10003966199

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....

Persistent link: https://www.econbiz.de/10009151972

Quantile and probability curves without crossing

Chernozhukov, Victor; Fernández-Val, Iván; Galichon, … - In: Econometrica : journal of the Econometric Society, an … 78 (2010) 3, pp. 1093-1125

Persistent link: https://www.econbiz.de/10003992585

Quantile and probability curves without crossing

Chernozhukov, Victor (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003454059