Results 81 to 90 of about 478,176 (203)

Cointegration and Common Factors. [PDF]

. Alternative common factor representations for cointegrated vectors are studied. This is done by embedding them into the dynamic factor model proposed by Peña and Box (Identifying a simplifying structure in time series. J. Am. Statist. Assoc. 82 (1987),
Escribano, Álvaro, Peña, Daniel
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Dynamic modeling of mean-reverting spreads for statistical arbitrage

, 2009
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean-reverting spreads enjoying a certain degree of predictability.
A Deaton, A Harvey, A Zellner, C Francq, C Francq, D Ghosh, E Moulines, EF Fama, G Carcano, G Montana, G Montana, G. Montana, GL McLachlan, H Li, H Lütkepohl, JB Kadane, JF Monahan, JM Poterba, JRM Ameen, K Chaudhuri, K Triantafyllopoulos, K Triantafyllopoulos, K. Triantafyllopoulos, KR Kadiyala, M Niedźwiecki, M West, M West, N Barberis, P Jorion, P Perron, P Phillips, PCB Phillips, PJ Harrison, PL Anderson, PM Djurić, R Dahlhaus, R Elliott, R Elliott, R Engle, R Kalaba, R Prado, RE Kalman, RH Shumway, RJ Meinhold, S Johansen, S Johansen, S Ni, SW Chan, WK Li, X Cheng, Y Lin   +50 more
core   +2 more sources

Market Efficiency and the Euro: The case of the Athens Stock Exchange [PDF]

The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate ...
Theodore Panagiotidis
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Interleaved Factorial Non-Homogeneous Hidden Markov Models for Energy Disaggregation [PDF]

, 2014
To reduce energy demand in households it is useful to know which electrical appliances are in use at what times. Monitoring individual appliances is costly and intrusive, whereas data on overall household electricity use is more easily obtained.
Goddard, Nigel, Sutton, Charles, Zhong, Mingjun   +2 more
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Long-run exchange rate determination: A neural network study [PDF]

Foreign Exchange;Exchange Rate;Econometrics;Neural ...
Daniels, H.A.M., Plasmans, J.E.J., Verkooijen, W.J.H.   +2 more
core   +1 more source

Properties of two U.S. inflation measures (1985-2005) [PDF]

, 2006
Analyses are presented of 84 quarterly observations 1/85-4/05 on two U.S. index numbers of nominal prices often employed to measure inflation. Analyses are designed to answer two key questions of interest to macroeconomists. Is inflation stationary (I(0))
Vicente Martínez, Eva
core   +1 more source

Tax Rates and Tax Evasion: An Empirical Analysis of the Structural Aspects and Long-Run Characteristics in Italy [PDF]

By using official time series of the Italian evaded VAT base (Ministry of Finance) for the period 1980-2004 we investigate empirically the long-run characteristics of tax evasion and the relationship with the tax burden.
Chiarini, Bruno, Marzano, Elisabetta, Schneider, Friedrich   +2 more
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Gold, Oil, and Stocks [PDF]

, 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data.
Barunik, Jozef, Kocenda, Evzen, Vacha, Lukas   +2 more
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Simulation Evidence on Granger Causality in Presence of a Confounding Variable [PDF]

This paper provides simulation evidence on Granger causality between two variables when they are jointly caused by a third variable. Four Data Generating Processes (DGPs) are considered for testing causality by Granger method and two DGPs for testing ...
Zahid ASGHAR
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Is There a Brazilian J-Curve? [PDF]

We show that Marshall-Lerner condition holds for Brazilian trade balance, and discard a J-curve in the short run. We present these results using impulse-response functions in a variety of (linear and nonlinear) models, including Markov-switching, vector ...
Guilherme Moura, Sergio Da Silva
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