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For a process with stationary first differences necessary and sufficient conditions for the variance of the process to be unbounded are given. An example shows that the variance of an integrated process -- while being unbounded -- need not diverge to infinity. Sufficient conditions for the...
Persistent link: https://www.econbiz.de/10005407936
In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...
Persistent link: https://www.econbiz.de/10005407968
This paper develops a consistent OLS estimate of a fractionally integrated processes' differencing parameter, using continuous wavelet theory as constructed from smoothing kernels. We show that a log-log linear relationship exists between the variance of the wavelet coefficient and the level at...
Persistent link: https://www.econbiz.de/10005119157
In this paper we use a bivariate, fractionally integrated, autoregressive, moving average model of money and real output to extend Fisher and Seater (1993) long-run neutrality requirements to long-memory processes. We derive new restrictions on the order of the nominal and real variable and...
Persistent link: https://www.econbiz.de/10005126242
A family of credit risk models is proposed to capture three salient features of Latin American (LA) Sovereign Bond Markets: individual Long Range Dependence in volatility---Long Memory (LM)---, high fractional comovement and time varying risk premia. Evidence in favor of LM is uncovered and the...
Persistent link: https://www.econbiz.de/10005556268
Since the start of the 1990s, several countries have abandoned fixed- but-adjustable exchange rate regimes. The tendency towards floating exchange rate regimes, or alternatively monetary unions, has given rise to a debate on the disappearance of pure currency crises, and the literature has...
Persistent link: https://www.econbiz.de/10005556609
The paper distinguishes between the classic or traditional foreign banks with their emphasis on corporate and wholesale banking, and the innovators responding to transition, deregulation or crisis in emerging markets. The innovators come in three varieties—bettors, prospectors and...
Persistent link: https://www.econbiz.de/10005556647
This paper uses both unconditional and conditional risk analysis to investigate the day-of-the-week effect in 21 emerging stock markets. In addition, risk is allowed to vary across the days of the week. Different models produce different results but overall day-of-the-week effects are present...
Persistent link: https://www.econbiz.de/10005134843
This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, there is some persistence in both bond and stock market returns. Second, we find that U.S. stock market returns Granger-cause Russian...
Persistent link: https://www.econbiz.de/10005134897
This paper analyzes the impact of news, oil prices, and international financial market developments on daily returns on Russian bond and stock markets. First, regarding returns, energy news affects returns, while news from the war in Chechnya is not significant. Market volatility does not appear...
Persistent link: https://www.econbiz.de/10005134951