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Puzzling Integratedness of Interest Rates: A Case for Nonparametric Threshold Cointegration?
Cron, Axel; Weidmann, Jens - University of Bonn, Germany - 1996
It is commonly found in empirical studies that nominal interest rates contain a unit root, implying that these variables have a permanent memory. One of the characteristics of a nonstationary time series is that it has no tendency to return to its mean values, meaning that the series is trending...
Persistent link: https://www.econbiz.de/10004968217
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10010325590
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011257593
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AN ANALYSIS OF DYNAMIC RISK IN THE GREATER CHINA EQUITY MARKETS
Johansson, Anders C. - Stockholm China Economic Research Institute, … - 2009
This study looks at the time-varying nature of systematic risk in the Greater China equity markets. The Shanghai and Shenzhen markets both have a low average systematic risk when measured against the world market. The short outbursts in systematic risk for these two markets seem to be directly...
Persistent link: https://www.econbiz.de/10004999559
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Institute - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10005137272
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011342578
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Structural breaks, inflation and interest rates: Evidence from the G7 countries
Clemente, Jesús; Gadea, María Dolores; Montañés, Antonio - In: Econometrics 5 (2017) 1, pp. 1-17
This study reconsiders the common unit root/co-integration approach to test for the Fisher effect for the economies of the G7 countries. We first show that nominal interest and inflation rates are better represented as I(0) variables. Later, we use the Bai-Perron procedure to show the existence...
Persistent link: https://www.econbiz.de/10011755364
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Structural Breaks, Inflation and Interest Rates: Evidence for the G7 countries
Clemente, Jesus; Montañes, Antonio; Reyes, Marcelo - EconWPA - 2004
This paper challenges the commonly used unit root/cointegration approach for testing the Fisher effect for the economies of the G7 countries. We first prove that nominal interest and inflation rate can be better represented as being broken trend stationary variables. Later, we use the Bai-Perron...
Persistent link: https://www.econbiz.de/10005556324