Showing 1 - 10 of 29
Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these forecasts may be aggregated. A number of forecasts are presented and...
Persistent link: https://www.econbiz.de/10004980231
the formulation of vector error correction models, in order to study causality among prices. In addition, some comments …. These conclusions mainly deal with short-run and long-run causality relationships, the existence of distortions in the price …
Persistent link: https://www.econbiz.de/10010882564
This paper proposes mixed-frequency distributed-lag (MFDL) estimators of impulse response functions (IRFs) in a setup where (i) the shock of interest is observed, (ii) the impact variable of interest is observed at a lower frequency (as a temporally aggregated or sequentially sampled variable),...
Persistent link: https://www.econbiz.de/10012142151
This paper shows how to decompose weakly stationary time series into the sum, across time scales, of uncorrelated components associated with different degrees of persistence. In particular, we provide an Extended Wold Decomposition based on an isometric scaling operator that makes averages of...
Persistent link: https://www.econbiz.de/10012215416
In this paper we explore the theoretical and empirical problems of estimating average (excess) return and risk of US equities over various holding periods and sample periods. Our findings are relevant for performance evaluation, for estimating the historical equity risk premium, and for...
Persistent link: https://www.econbiz.de/10010731517
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...
Persistent link: https://www.econbiz.de/10010732607
instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger causality will be more common …
Persistent link: https://www.econbiz.de/10010837792
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...
Persistent link: https://www.econbiz.de/10010837845
I propose two simple variable addition test statistics for three tests of the specification of high-frequency predictors in a model to forecast a series observed at a lower frequency. The first is similar to existing test statistics and I show that it is robust to biased forecasts, integrated...
Persistent link: https://www.econbiz.de/10010933600
This paper investigates the performance of quasi maximum likelihood (QML) and nonlinear least squares (NLS) estimation applied to temporally aggregated GARCH models. Since these are known to be only weak GARCH, the conditional variance of the aggregated process is in general not known. Thus, one...
Persistent link: https://www.econbiz.de/10005043585