Similar Search Results

On the Typical Spectral Shape of an Economic Variable

Levy, Daniel; Dezhbakhsh, Hashem - EconWPA - 2004

In a classical article, Granger (1966) argued that the levels of most economic time series have spectra that exhibit a smooth declining shape with considerable power at very low frequencies. He termed it "the typical spectral shape of an economic variable." Granger's assertion has not been...

Persistent link: https://www.econbiz.de/10005412862

The long memory story of ex post real interest rates. Can it be supported?

Venetis, Ioannis A.; Duarte, Agustin; Paya, Ivan - EconWPA - 2004

This papers finds evidence of fractional integration for a number of monthly ex post real interest rate series using the GPH semiparametric estimator on data from fourteen European countries and the US. However, we pose empirical questions on certain time series requirements that emerge from...

Persistent link: https://www.econbiz.de/10005407898

An Alternative Maximum Likelihood Estimator of Long-Memeory Processes Using Compactly Supported Wavelets

Jensen, Mark J. - EconWPA - 1997

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

Maximum Likelihood Estimators for ARMA and ARFIMA Models: A Monte Carlo Study

Hauser, Michael A. - EconWPA - 1998

We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated...

Persistent link: https://www.econbiz.de/10005119109

Estimation of mis-specified long memory models

Chen, Willa; Deo, Rohit - EconWPA - 2005

We study the asymptotic behaviour of frequency domain maximum likelihood estimators of mis-specified models of long memory Gaussian series. We show that even if the long memory structure of the time series is correctly specified, mis-specification of the short memory dynamics may result in...

Persistent link: https://www.econbiz.de/10005556354

Using Wavelets to Obtain a Consistent Ordinary Least Squares Estimator of the Long Memory Parameter

Jensen, Mark J. - EconWPA - 1997

We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...

Persistent link: https://www.econbiz.de/10005407950

Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models

Hillebrand, Eric - EconWPA - 2003

A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean … reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale … realistic ranges for stock-price volatility we obtain global estimates close to integration while the average data- generating …

Persistent link: https://www.econbiz.de/10005119104

The Contagion Effect Between the Volatilities of the NASDAQ-100 and the IT.CA :A Univariate and A Bivariate Switching Approach

SULEIMANN, Ryan - EconWPA - 2003

, using a bivariate SWARCH model to show the dependence of the high and low volatility states of the IT.CAC on the NASDAQ-100 …, with no intermediate simultaneous high-low volatility states. …

Persistent link: https://www.econbiz.de/10005556399

Sector-Specific Volatility Patterns in Investment

Kredler, Matthias - EconWPA - 2005

This paper addresses the question if there are differences between time patterns in the volatility of investment across … conjectured, GARCH effects play an important role in some sectors but are not significant in others. Astonishingly, the volatility … determining investment volatility than the macroeconomic environment. …

Persistent link: https://www.econbiz.de/10005561184

Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach

SULEIMANN, Ryan - EconWPA - 2003

ﬁnancial instruments in the portfolio and on the volatility of those returns.This task is relatively simple if the correlations … and volatilities do not change over time.But in reality both volatility and stock market indexes’ correlations do change …

Persistent link: https://www.econbiz.de/10005124892

1
2
3
4
5
6
7
8
9
10
Next
Last