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Title:Granger-Causal Analysis of Conditional Mean and Volatility Models Author(s):WOŹNIAK, TomaszDate:2012Citation: Florence : European University Institute, 2012 Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets as well as in macroeconomic reality. Such effects are not limited to relations between the levels of variables ...

Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...

Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract:Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...

Title:Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index Author(s):LUETKEPOHL, Helmut EUI affiliated

; XU, FangDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/37Abstract:This paper investigates whether using natural logarithms (logs) of price indices for forecasting inflation rates is preferable to employing the original series. Univariate forecasts for annual inflation rates for a number ...

Title:The Role of log Transformation in Forecasting Economic Variables Author(s):LUETKEPOHL, Helmut EUI affiliated

; XU, FangDate:2009Type:Working PaperSeries/Number:EUI MWP; 2009/06Abstract:For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this transformation is often considered to stabilize the variance of a series. We investigate under which ...

Title:Forecasting Aggregated Time Series Variables: A Survey Author(s):LUETKEPOHL, Helmut EUI affiliated

Date:2009Type:Working PaperSeries/Number:EUI ECO; 2009/17Abstract:Aggregated times series variables can be forecasted in different ways. For example, they may be forecasted on the basis of the aggregate series or forecasts of disaggregated variables may be obtained first and then these ...

Title:Econometric Analysis with Vector Autoregressive Models Author(s):LUETKEPOHL, Helmut EUI affiliated

Date:2007Type:Working PaperSeries/Number:EUI ECO; 2007/11Abstract:Vector autoregressive (VAR) models for stationary and integrated variables are reviewed. Model specification and parameter estimation are discussed and various uses of these models for forecasting and economic analysis ...

Title:Forecasting with VARMA Models Author(s):LUETKEPOHL, Helmut EUI affiliated

Date:2004Type:Working PaperSeries/Number:EUI ECO; 2004/25