feed icon rss

Your email was sent successfully. Check your inbox.

An error occurred while sending the email. Please try again.

Proceed reservation?

Export
Filter
Type of Material
Type of Publication
Consortium
Language
  • 1
    UID:
    (DE-627)1781468524
    Format: 1 Online-Ressource (3 p)
    Content: In this note I show that the method proposed in Thomakos (2008) for optimal linear filtering, smoothing and trend extraction for a unit root process can be applied with no changes when a drift parameter is added to the process. The method in the aforementioned paper is based on Singular Spectrum Analysis (SSA) and here I also derive an SSA-based consistent estimator of the drift parameter
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 28, 2008 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 2
    UID:
    (DE-627)1834329353
    Format: 1 Online-Ressource (31 p)
    Content: In this paper, I propose an extension to the class of semiparametric time series models by incorporating a weight function to allow for smooth transitions between a linear autoregressive and a nonparametric component. The weight function and nonparametric component may depend on auxiliary variables. The inclusion of the weight function broadens the flexibility of the semiparametric model and allows for testing against smooth transition parametric models and against linearity. If no auxiliary variables are used the model is a special case of the functional coefficient autoregressive model, while if auxiliary variables are used the model's solution is a distributed lag in nonlinear functions. The nonparametric component is approximated using a Fourier series expansion and the model is estimated using the MINPIN approach proposed in Andrews (1994). An empirical illustration is provided using the U.S. quarterly unemployment rate data, previously analyzed in Montgomery et al. (1998)
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 30, 2003 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 3
    Online Resource
    Online Resource
    [S.l.] : SSRN
    UID:
    (DE-627)1834330068
    Format: 1 Online-Ressource (35 p)
    Content: A generalization of the exponential smoothing (ES) model is proposed by making two new assumptions about the form that the ES forecast function takes. First, the smoothing coefficient is made a function of (possibly a lag of) the observed time series and, second, the one-step ahead forecast is allowed to be a weighted average of the last forecast and an unknown function of the last observation. These assumptions greatly enhance the usefulness and applicability of ES as a filtering and forecasting method, as they permit data-dependent updating of the smoothing coefficient and can handle nonlinearity. Neither of these features is available in the context of the standard ES model. The inference problem is nonparametric and the approximation parameters of the model are estimated by local nonlinear least squares. A model selection procedure, based on generalized cross-validation, is also given. The potential of the new model is illustrated using four real economic time series
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 3, 2005 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 4
    Book
    Book
    Basingstoke, Hampshire [u.a.] : Palgrave Macmillan
    UID:
    (DE-627)829959092
    Format: XXI, 334 S. , graph. Darst.
    ISBN: 9781137448293
    Series Statement: Palgrave Macmillan studies in banking and financial institutions
    Content: "The recent financial crisis has generated many structural changes within the economy. Many issues are ongoing, and the question of how to recover from the crisis, and how to avoid another one, are continually addressed by scholars and practitioners everywhere. Where there is much discussion within academic and practitioner circles, there is not always adequate interaction between these schools of research. This book provides a thorough overview of the recent financial crisis from the perspective of both industry practitioners and academics specialising in the area. The first part provides practitioner insight on the crisis, and explores the causes and effects and of the recession, European public financing, ECB monetary policy and the Euro, the repression of financial markets, and financial stability. Part two focuses on the case of Greece, as a country still heavily impacted by the crisis, which has undergone various unorthodox policies imposed by the IMF, the ECB the EU. The third part provides insight from researchers and academics, covering an array of Economic theories and revealing new economics architectures available for the future. With informed views from both financial industry practitioners and academics, this book discusses current issues and implementable solutions for a faster post-crisis recovery"--
    Content: "The recent financial crisis has generated many structural changes within the economy. Many issues are ongoing, and the question of how to recover from the crisis, and how to avoid another one, are continually addressed by scholars and practitioners everywhere. Where there is much discussion within academic and practitioner circles, there is not always adequate interaction between these schools of research. This book provides a thorough overview of the recent financial crisis from the perspective of both industry practitioners and academics specialising in the area. The first part provides practitioner insight on the crisis, and explores the causes and effects and of the recession, European public financing, ECB monetary policy and the Euro, the repression of financial markets, and financial stability. Part two focuses on the case of Greece, as a country still heavily impacted by the crisis, which has undergone various unorthodox policies imposed by the IMF, the ECB the EU. The third part provides insight from researchers and academics, covering an array of Economic theories and revealing new economics architectures available for the future. With informed views from both financial industry practitioners and academics, this book discusses current issues and implementable solutions for a faster post-crisis recovery"--
    Note: Enth. 14 Beitr , Machine generated contents note:Dedications -- Acknowledgements -- List of Figures -- List of Tables -- Notes on Contributors -- About the Editors -- Preface - Introduction: D. Thomakos, P. Monokroussos and K. I. Nikolopoulos -- Part One The INDUSTRY perspective -- 1. A Retrospective on the Great Recession: Causes, Effects and Prospects: I. Lazos -- 2. European Public Finances through the Crisis: F. Montagne -- 3. ECB Monetary Policy and the Euro during the Crisis: A. Vamvakidis -- 4. The Repression of the Financial Markets: R. Sueppel -- 5. Chasing the Tail of Financial Stability: M. Kasumovich -- Part Two The case of GREECE -- 6. An empirical study on Greece's current account determinants before and after the outbreak of the global financial crisis: P. Monokroussos and D. Thomakos -- 7. Greek fiscal multipliers revisited: Government spending cuts vs. tax hikes and the role of public investment expenditure: P. Monokroussos and D. Thomakos -- 8. The Challenge of Restoring Debt Sustainability in a Deep Economic Recession: The case of Greece: P. Monokroussos -- 9. The case for a new reprofilling of Greek public debt and why a relaxation of the bailout program's future fiscal targets may prove to be a self-financing policy shift: Dr Fokion Karavias and P. Monokroussos -- 10. External Debt Crisis: Does it Matter if Global Financial Markets Are Complete?: A. Anagnostopoulos and G. Siourounis -- 11. Foreign Direct Investment, innovation and brain drain in Greece: turning the problem to opportunity: C. Kottaridi -- Part Three CRISIS ECONOMICS and the Road Ahead -- 12. Globalized Finance in Disarray: S. Chakravarty -- 13. The Elephant in the Euro Room: A. Patelis -- 14. From the euro-crisis to a new European economic architecture: M. Arghyrou.
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 5
    UID:
    (DE-627)1836858221
    Format: 1 Online-Ressource (43 p)
    Content: In this paper I propose a novel optimal linear filter for smoothing, trend and signal extraction for time series with a unit root. The filter is based on the Singular Spectrum Analysis (SSA) methodology, takes the form of a particular moving average and is different from other linear filters that have been used in the existing literature. To best of my knowledge this is the first time that moving average smoothing is given an optimality justification for use with unit root processes. The frequency response function of the filter is examined and a new method for selecting the degree of smoothing is suggested. I also show that the filter can be used for successfully extracting a unit root signal from stationary noise. The proposed methodology can be extended to also deal with two cointegrated series and I show how to estimate the cointegrating coefficient using SSA and how to extract the common stochastic trend component. A simulation study explores some of the characteristics of the filter for signal extraction, trend prediction and cointegration estimation for univariate and bivariate series. The practical usefulness of the method is illustrated using data for the US real GDP and two financial time series
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 9, 2008 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 6
    Online Resource
    Online Resource
    [S.l.] : SSRN
    UID:
    (DE-627)1781405506
    Format: 1 Online-Ressource (25 p)
    Content: Consider the problem of smoothing a time series for extracting its low frequency characteristics, collectively called its trend. This paper proposes a competitive, to existing methods, solution in choosing the optimal degree of smoothing based on the distribution of the residuals from the smooth trend. The methodology is illustrated with simulations and with an application to the U.S. real GDP series, where a comparison of the proposed methodology with the Hodrick-Prescott filter is made
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 4, 2008 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 7
    UID:
    (DE-627)1781413975
    Format: 1 Online-Ressource (46 p)
    Content: In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns) and finding an appropriate smoother is thus of immediate practical interest. The filter and resulting smoother are based on the methodology of Singular Spectrum Analysis (SSA) and their form and properties are examined in detail. In particular, I find explicit representations for the asymptotic decomposition of the covariance matrix and show that the first two leading eigenvalues of the decomposition account for over 90% of the variability of the process. I examine the structure of the impulse and frequency response functions finding that the optimal filter has a quot;permanentquot; and a quot;transitory componentquot; with the corresponding smoother being the sum of two such components. I also find explicit representations for the extrapolation coefficients that can be used in out-of-sample prediction. The methodology of the paper is illustrated with three short empirical applications using data on U.S. inflation and real GDP growth and data on the Euro/US dollar exchange rate. Finally, the paper contains a new technical result: I derive explicit representations for the filtering weights in the context of SSA for an arbitrary covariance matrix. This result allows one to examine specific effects of smoothing in any situation and has not appeared so far, to the best of my knowledge, in the related literature
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2008 erstellt
    Language: Undetermined
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 8
    UID:
    (DE-627)683934910
    ISSN: 0960-3107
    In: Applied financial economics, London : Routledge, 1991, 22(2012), 1/3 vom: Feb., Seite 97-112, 0960-3107
    In: volume:22
    In: year:2012
    In: number:1/3
    In: month:02
    In: pages:97-112
    Language: English
    Keywords: Aufsatz in Zeitschrift
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 9
    UID:
    (DE-627)1792056613
    Format: 1 Online-Ressource
    Content: Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of heterogeneous autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a variety of new realized volatility estimators. The selection of realized volatility estimator greatly affects jump detection, magnitude and modeling. The properties each volatility estimator tries to incorporate affect the detection, magnitude and properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and economic terms
    Note: In: International Review of Financial Analysis, Vol. 28, pp. 34-45, 2013 , Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 26, 2012 erstellt , Volltext nicht verfügbar
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
  • 10
    UID:
    (DE-627)1792156502
    Format: 1 Online-Ressource (27 p)
    Content: We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE).Using intraday data we rst construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the rst time, to the best of our knowledge, that volatility jumps are examined and modeled for the Greek market, using a variety of realized volatility estimators
    Note: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 29, 2009 erstellt
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
    BibTip Others were also interested in ...
Close ⊗
This website uses cookies and the analysis tool Matomo. Further information can be found on the KOBV privacy pages