Download or read book Log periodogram Estimation of Long Memory Volatility Dependencies with Conditionally Heavy Tailed Returns written by Jonathan H. Wright and published by . This book was released on 2000 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many recent papers have used semiparametric methods, especially the log-periodogram regression, to detect and estimate long memory in the volatility of asset returns. In these papers, the volatility is proxied by measures such as squared, log-squared and absolute returns. While the evidence for the existence of long memory is strong using any of these measures, the actual long memory parameter estimates can be sensitive to which measure is used. In Monte-Carlo simulations, I find that the choice of volatility measure makes little difference to the log-periodogram regression estimator if the data is Gaussian conditional on the volatility process. But, if the data is conditionally leptokurtic, the log periodogram regression estimator using squared returns has a large downward bias, which is avoided by using other volatility measures. In U.S. stock return data, I find that squared returns give much lower estimates of the long memory parameter than the alternative volatility measures, which is consistent with the simulation results. I conclude that researchers should avoid using the squared returns in the semiparametric estimation of long memory volatility dependencies.
Download or read book Long Memory Processes written by Jan Beran and published by Springer Science & Business Media. This book was released on 2013-05-14 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-memory processes are known to play an important part in many areas of science and technology, including physics, geophysics, hydrology, telecommunications, economics, finance, climatology, and network engineering. In the last 20 years enormous progress has been made in understanding the probabilistic foundations and statistical principles of such processes. This book provides a timely and comprehensive review, including a thorough discussion of mathematical and probabilistic foundations and statistical methods, emphasizing their practical motivation and mathematical justification. Proofs of the main theorems are provided and data examples illustrate practical aspects. This book will be a valuable resource for researchers and graduate students in statistics, mathematics, econometrics and other quantitative areas, as well as for practitioners and applied researchers who need to analyze data in which long memory, power laws, self-similar scaling or fractal properties are relevant.
Download or read book Applied Quantitative Methods for Trading and Investment written by Christian L. Dunis and published by John Wiley & Sons. This book was released on 2004-01-09 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Download or read book Gaussian Inference on Certain Long range Dependent Volatility Models written by Paolo Zaffaroni and published by . This book was released on 2003 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Use of Cyclical Indicators in Estimating the Output Gap in Japan written by Jane Haltmaier and published by . This book was released on 2001 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Finance Discussion Papers written by and published by . This book was released on 2000 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Output and Inflation in the Long Run written by Neil R. Ericsson and published by . This book was released on 2000 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: Cross-country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis-specifications, both analytically and empirically. In particular, for most G-7 countries, annual time series of inflation and the log-level of output are cointegrated, thus rejecting the existence of a long-run relation between output growth and inflation. Typically, output and inflation are positively related in these cointegrating relationships: a price markup model helps interpret this surprising feature.
Download or read book A Retrospective on J Denis Sargan and His Contributions to Econometrics written by Neil R. Ericsson and published by . This book was released on 2001 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This retrospective provides a biographical history of Denis Sargan's career and reviews his contributions to econometrics, emphasizing the breadth of his work in both theoretical and applied econometrics. We include a complete bibliography for Denis and a list of PhD theses that he supervised--students were a substantive facet of his professional life. Finally, two of Denis's previously unpublished manuscripts on model building now appear in print.
Download or read book A Simple Measure of the Intensity of Capital Controls written by Hali J. Edison and published by International Monetary Fund. This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematische Annalen written by Alfred Clebsch and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Dependence in Probability and Statistics written by Patrice Bertail and published by Springer Science & Business Media. This book was released on 2006-09-24 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an account of recent developments in the field of probability and statistics for dependent data. It covers a wide range of topics from Markov chain theory and weak dependence with an emphasis on some recent developments on dynamical systems, to strong dependence in times series and random fields. There is a section on statistical estimation problems and specific applications. The book is written as a succession of papers by field specialists, alternating general surveys, mostly at a level accessible to graduate students in probability and statistics, and more general research papers mainly suitable to researchers in the field.
Download or read book Price Level Convergence Relative Prices and Inflation in Europe written by John H. Rogers and published by . This book was released on 2001 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: "If price levels are initially different across the euro area, convergence to a common level of prices would imply that inflation will be higher in countries where prices are initially low. Price level convergence thus provides a potential explanation for recent cross-country differences in European inflation, a worrisome development under the ECBs "one-size-fits-all" monetary policy. I present direct evidence on price level convergence in Europe, using a unique data set, and then investigate how much of the recent divergence of national inflation rates can be explained by price level convergence. I show that between 1990 and 1999 prices did become less dispersed in the euro area. Convergence is especially evident for traded goods, and more in the first half of the 1990s than the second half. By some measures, traded goods price dispersion across the euro area is now close to that across U.S. cities. Despite an on-going process of convergence, deviations from the law of one price are large. Finally, I find a statistically-significant and robust negative relationship between the 1999 price level and 2000 inflation rate in Europe, and that the contribution of price level convergence to explaining inflation differentials is often quite important economically. Still, factors other than price convergence explain most of the cross-country inflation differences."
Download or read book Border Effects Within the NAFTA Countries written by John H. Rogers and published by . This book was released on 2001 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Using consumer price indexes from cities in the U.S., Canada and Mexico, we estimate the "border effect" on U.S.-Mexican relative prices and find that it is nearly an order of magnitude larger than for U.S.-Canadian prices. However, during a very stable sub-period in Mexico (May 1988 to November 1994), the "width" of the U.S.-Mexican border falls dramatically and becomes approximately equal to the U.S.-Canadian border. We then show that when consideration is limited to cities lying geographically very close to the U.S.-Mexican border--San Diego, Los Angeles, Houston, Dallas, Tijuana, Mexicali, Juarez, and Matamoros--the border width falls compared to that estimated with the full sample of U.S. and Mexican cities, but falls only very slightly. We also present evidence that the border effect in U.S.-Mexican prices is not primarily due to the border effect in U.S.-Mexican wages. Finally, using the prices of 276 highly dis-aggregated goods and services, we estimate the variability of relative prices of different items within Mexican cities. This measure of relative price variability declines during the stable peso sub-period, but by less than the decline in nominal and real (i.e., CPI-based) exchange rate variability. Our results are strong evidence of a "nominal border effect" in relative prices within NAFTA, but also indicate that real side influences are important."
Download or read book Forecast Uncertainty in Economic Modeling written by Neil R. Ericsson and published by . This book was released on 2001 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an introduction to forecast uncertainty in empirical economic modeling. Forecast uncertainty is defined, various measures of forecast uncertainty are examined, and some sources and consequences of forecast uncertainty are analyzed. Empirical illustrations with the U.S. trade balance, U.K. inflation and real national income, and the U.S./U.K. exchange rate help clarify the issues involved.
Download or read book Home Bias and High Turnover Reconsidered written by Francis E. Warnock and published by . This book was released on 2001 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Predictable Uncertainty in Economic Forecasting written by Neil R. Ericsson and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an introduction to predictable forecast uncertainty in empirical economic modelling. The sources of both predictable and unpredictable forecast uncertainty are categorized. Key features of predictable forecast uncertainty are illustrated by several analytical models, including static and dynamic models, and single-equation and multiple-equation models. Empirical models of the U.S. trade account, U.K. inflation, and U.K. real national income help clarify the issues involved.
Download or read book Monetary Policy and Exchange Rate Pass through written by Joseph E. Gagnon and published by . This book was released on 2001 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
