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Aggregate matching in Spain : time series analysis using cointegration techniques

Gałecka-Burdziak, Ewa - In: Contemporary economics 10 (2016) 1, pp. 5-12

I analyze the matching process in the Spanish labor market from 1994-2005. I use monthly registered unemployment data and refer solely to public employment intermediation. This period reflects an upward movement along a downward sloping Beveridge curve; therefore, major changes in the process...

Persistent link: https://www.econbiz.de/10011452859

Improving the accuracy: volatility modeling and forecasting using high-frequency data and the variational component

Kumar, Manish - In: Journal of industrial engineering and management : JIEM 3 (2010) 1, pp. 199-220

In this study, we predict the daily volatility of the S&P CNX NIFTY market index of India using the basic "heterogeneous autoregressive" (HAR) and its variant. In doing so, we estimated several HAR and Log form of HAR models using different regressor. The different regressors were obtained by...

Persistent link: https://www.econbiz.de/10011899155

A GARCH approach to model short-term interest rates : evidence from Spanish economy

Sánchez García, Javier; Cruz Rambaud, Salvador - In: International journal of finance & economics : IJFE 27 (2022) 2, pp. 1621-1632

Persistent link: https://www.econbiz.de/10013184367

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121