Search results for "Serie"
showing 10 items of 1270 documents
Integrated capital shares
2019
In empirical macroeconomics, inter-dependencies between countries are often analysed using cross-country correlations or graphical investigation of time series. This study shows that applying an alternative methodological approach - identification of common unobservable factors and using them as explanatory variables for country-specific time series - indicates a stronger cross-country integration of functional income distributions than the standard methods. The results vary only little between different samples, where both the country and year coverage change. Moreover, the main findings are not sensitive to the way capital depreciation is taken into account. The primary driving factor see…
Rolling over stock index futures contracts
2009
Derivative contracts have a finite life limited by their maturity. The construction of continuous series, however, is crucial for academic and trading purposes. In this study, we analyze the relevance of the choice of the rollover date, defined as the point in time when we switch from the front contract series to the next one. We have used five different methodologies in order to construct five different return series of stock index futures contracts. The results show that, regardless of the criterion applied, there are not significant differences between the resultant series. Therefore, the least complex method can be used in order to reach the same conclusions. © 2009 Wiley Periodicals, I…
Model Based Monte Carlo Pricing of Energy and Temperature Quanto Options
2010
Weather derivatives have become very popular tools in weather risk management in recent years. One of the elements supporting their diffusion has been the increase in volatility observed on many energy markets. Among the several available contracts, Quanto options are now becoming very popular for a simple reason: they take into account the strong correlation between energy consumption and certain weather conditions, so enabling price and weather risk to be controlled at the same time. These products are more efficient and, in many cases, significantly cheaper than simpler plain vanilla options. Unfortunately, the specific features of energy and weather time series do not enable the use of …
¿SE PUEDE MEDIR LA NEGOCIACIÓN INFORMADA?: UNA REVISIÓN DE LA METODOLOGÍA BASADA EN LAS COVARIANZAS DE LAS SERIES DE PRECIOS
2009
RESUMENEl desarrollo en los modelos teóricos de microestructura ha motivado la aparición de un grupo de trabajos encaminado al estudio empírico de los costes de transacción y sus componentes dada la importancia que han tenido los mismos en el estudio del funcionamiento de los mercados y la comparación entre éstos así como sus numerosas aplicaciones en campos afines (finanzas corporativas, eficiencia de los mercados, etc.). Por otra parte, la contrastación empírica de los distintos modelos establecidos muestra resultados claramente dispares. Por ello, el objetivo de nuestro trabajo es analizar con detalle y en conjunto dichos modelos centrándonos en un grupo con características muy similares…
A critical view on temperature modelling for application in weather derivatives markets
2012
In this paper we present a stochastic model for daily average temperature. The model contains seasonality, a low-order autoregressive component and a variance describing the heteroskedastic residuals. The model is estimated on daily average temperature records from Stockholm (Sweden). By comparing the proposed model with the popular model of Campbell and Diebold (2005), we point out some important issues to be addressed when modelling the temperature for application in weather derivatives market.
Educational attainment in the OECD, 1960-2010. Updated series and a comparison with other sources
2015
© 2015 Elsevier Ltd. This paper describes the construction of updated series on the educational attainment of the adult population for a sample of 22 OECD countries covering the period 1960-2010. These series are then compared with (the OECD subsample of) the latest available version of other cross-country data sets on average years of schooling that are commonly used in the literature. Finally, statistical measures of the information content of the different series are constructed using the procedure developed by Krueger and Lindhal (K&L, 2001) and de la Fuente and Doménech (D&D, 2006). The exercise shows that there are important differences in quality across data sets and suggests that su…
Real wages-employment relationship in Finnish manufacturing: a VAR approach
1991
Granger's concept of causality and the vector autoregressive(VAR) technique is used to investigate the real wages-employment relationship in Finnish manufacturing. The stationarity of the time series is examined and a number of co-integration tests for the adequacy of a pure VAR specification performed. The results using a bivariate VAR model based on a lag structure determined by Akaike's information criterion suggests that real wages Granger-cause employment. The slight non-constancy of the model suggests, however, that the conclusion concerning the nature of the real wages-emploment relationship should be treated with causion.
Testing the stationarity of interest rates using a SUR approach
1998
Abstract Using data on average yields to maturity of German bonds with different time to maturity it is shown that the time series contain a unit root if the standard augmented Dickey–Fuller test is applied separately to each series. To improve the power of the test we carried out a recently developed approach, estimating the regressions for each time to maturity jointly using a seemingly unrelated regressions approach.
Nonlinear GARCH models for highly persistent volatility
2005
In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main emphasis is on models that are similar to previously introduced smooth transition GARCH models except for the novel feature that a lagged value of conditional variance is used as the transition variable. This choice of the transition variable corresponds to the idea that high persistence in conditional variance is related to relatively infrequent changes in regime. U sing the theory of Markov chains w…
Sticky-price models and the natural rate hypothesis
2005
Abstract A major criticism of standard specifications of price adjustment in models for monetary policy analysis is that they violate the natural rate hypothesis by allowing output to differ from potential in steady state. In this paper we estimate a dynamic optimizing business cycle model whose price-setting behavior satisfies the natural rate hypothesis. The price-adjustment specifications we consider are the sticky-information specification of Mankiw and Reis (Sticky information versus sticky prices: a proposal to replace the new Keynesian Phillips curve. Quarterly Journal of Economics 117, 1295–1328) and the indexed contracts of Christiano et al. (Nominal rigidities and the dynamic effe…