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The link between foreign aid and economic growth remains a controversial issue in the literature, and a large share of the disagreement could be explained by differences in the data employed. Using GDP data from three different versions of the Penn World Table and the World Development...
Persistent link: https://www.econbiz.de/10011375893
Macroeconomic data have been shown to vary substantially between sources, especially so for low-income countries. While the impact of data revisions on inference is well documented for cross-country studies, there is no systematic analysis of the robustness of results obtained from time series...
Persistent link: https://www.econbiz.de/10011990915
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov …
Persistent link: https://www.econbiz.de/10003633683
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10003634717
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of … models. -- Dynamic Stochastic General Equilibrium (DSGE) Models ; Baye- sian Time Series Econometrics ; Curse of …
Persistent link: https://www.econbiz.de/10003636133
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general … management and data handling facilities. -- Dynamic stochastic general equilibrium (DSGE) models ; Bayesian time series …
Persistent link: https://www.econbiz.de/10003727355
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10003727673
The inference for hidden Markov chain models in which the structure is a multiple-equation macroeconomic model raises a number of difficulties that are not as likely to appear in smaller models. One is likely to want to allow for many states in the Markov chain without allowing the number of...
Persistent link: https://www.econbiz.de/10003730549