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on Econometric Time Series |
| By: | Dominique Guegan (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I); Abdou Ka Diongue (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I) |
| Abstract: | Most financial time series exhibit seasonality, persistence (hyperbolic decay of the autocorrelation function), asymmetric behavior and leptokurtosis. In this paper, we introduce the stationary Seasonal Hyperbolic APARCH model, which can take into account the previous features. We then investigate the probabilistic properties of the process e.g the strict and weak stationarity of the process and the long memory property. |
| Keywords: | Seasonality – Persistence – Asymmetry – Aparch model – Hyperbolic distribution – Stationary solution |
| Date: | 2007–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:papers:halshs-00179275_v1&r=ets |
| By: | de Silva, Ashton |
| Abstract: | The Beveridge Nelson vector innovation structural time series framework is new formu- lation that decomposes a set of variables into their permanent and temporary components. The framework models inter-series relationships and common features in a simple man- ner. In particular, it is shown that this new speci¯cation is more simple than conventional state space and cointegration approaches. The approach is illustrated using a trivariate data set comprising the GD(N)P of Australia, America and the UK. |
| Keywords: | vector innovation structural time series; multivariate time series; Bev- eridge Nelson; common components. |
| JEL: | E32 C32 C51 |
| Date: | 2007–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:5431&r=ets |
| By: | Mark Mink; Jan P.A.M. Jacobs; Jakob de Haan |
| Abstract: | We develop multivariate measures of synchronicity and co-movement of business cycles. In addition to synchronicity, the co-movement measure takes differences between cycle amplitudes into account that have been overlooked in most previous studies. We apply the new measures to the euro area. Synchronicity and co-movement for the region as a whole do not exhibit a clear upward tendency. Although several countries saw the similarity of their business cycle vis-`a-vis the euro area reference cycle increase, national business cycles remain fairly diverse. Changes in business cycle amplitudes cause most of the observed change in cycle co-movement. |
| JEL: | E32 F02 F42 |
| Date: | 2007–09 |
| URL: | http://d.repec.org/n?u=RePEc:acb:camaaa:2007-19&r=ets |