Title:Realized GARCH: A joint model for returns and realized measures of volatility
Author(s):HANSEN, Peter Reinhard; HUANG, Zhuo; SHEK, Howard HowanDate:2012Type of Publication:ArticleAbstract:We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of ...
Title:Recent Developments in International Finance: A Guide to Research
Author(s):STEIN, Jerome L.; PALADINO, GiovannaDate:1997Type of Publication:ArticleAbstract:This is a critical evaluation of the state of the art in International Finance. Several points of reference are selected: The Mundell-Fleming-Branson (MFP) paradigm, the monetary model with purchasing power parity (PPP) ...
Title:Recent Results on Belief, Knowledge and the Epistemic Foundations of Game Theory.
Author(s):BATTIGALLI, Pierpaolo; BONANNO, GiacomoDate:1999Type of Publication:ArticleAbstract:We provide a self-contained, selective overview of the literature on the role of knowledge and beliefs in game theory. We focus on recent results on the epistemic foundations of solution concepts, including correlated ...
Title:Reconstructing Aggregate Euro-Zone Data
Author(s):BEYER, Andreas; DOORNIK, Jurgen A.; HENDRY, David F.Date:2000Type of Publication:ArticleAbstract:Reconstructing historical euro-zone data by aggregation across individual countries is problematic because of past exchange rate changes. The approach here avoids such distortions, yet aggregates exactly when exchange rates ...
Title:The Refoundation of Symmetric Equilibrium in Schumpeterian Growth Models
Author(s):COZZI, Guido; GIORDANI, Paolo; ZAMPARELLI, LucaDate:2007Type of Publication:ArticleAbstract:We provide a refoundation of the symmetric growth equilibrium characterizing the research sector of vertical R&D-driven growth models. We argue that the usual assumptions made in this class of models leave the agents ...
Title:Regime-Dependent Impulse Response Functions in a Markov-Switching Vector Autoregression Model
Author(s):EHRMANN, Michael; ELLISON, Martin; VALLA, NatachaDate:2003Type of Publication:ArticleAbstract:This paper combines both Markov-switching and structural identifying restrictions in a vector autoregression model. The resulting regime-dependent impulse response functions show how the reaction of variables in the model ...
Title:Regional Debt in Monetary Unions: Is It Inflationary?
Author(s):COOPER, Russell; KEMPF, Hubert; PELED, DanDate:2010Type of Publication:ArticleAbstract:This paper studies the inflationary implications of interest bearing regional debt in a monetary union. Is this debt simply backed by future taxation with no inflationary consequences? Or will the circulation of region ...
Title:Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the United States
Author(s):BECK, Guenter W.; HUBRICH, Kirstin; MARCELLINO, MassimilianoDate:2009Type of Publication:ArticleAbstract:Inflation differentials across regions of an integrated economy can reflect a proper response to demand and supply conditions, but can also indicate distortions with negative welfare implications. Using a novel dataset of ...
Title:Regional Unemployment and Its Persistence in Transition Countries
Author(s):BORNHORST, Fabian; COMMANDER, SimonDate:2006Type of Publication:ArticleAbstract:We look at the differences in regional unemployment rates in six major transition countries and their persistence over time. We analyse the role various adjustment mechanisms play. While movement out of the labour force ...
Title:The Relative Dynamics of the Current Account and Investment in the G7-Economies
Author(s):HOFFMANN, MathiasDate:2001Type of Publication:ArticleAbstract:This paper contributes to the empirics of the intertemporal approach to the current account. We use a cointegrated VAR framework to identify permanent and transitory components of country-specific and global shocks. Our ...
Title:The Reliability of Real Time Estimates of the Euro Area Output Gap
Author(s):MARCELLINO, Massimiliano; MUSSO, AlbertoDate:2011Type of Publication:ArticleAbstract:This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates ...
Title:Representations of I(2) Cointegrated Systems Using the Smith-Mcmillan Form
Author(s):HALDRUP, Niels; SALMON, MarkDate:1998Type of Publication:ArticleAbstract:This paper presents a discussion of cointegration amongst I(2) variables and provides a synthesis of various ways I(2) cointegrated systems may be characterized and represented. Following Yoo (1986), Engle and Yoo (1991) ...
Title:Residual Autocorrelation Testing for Vector Error Correction Models
Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Type of Publication:ArticleAbstract:In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case ...
Title:Responsive Pricing
Author(s):COURTY, Pascal; PAGLIERO, MarioDate:2008Type of Publication:ArticleAbstract:Abstract We study the efficiency property of responsive pricing, a scheme that proposes to increase prices as a function of the level of capacity utilization in environments where traditional allocation schemes (e.g. ...