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Underlying Trends in Employment Output Equation: The Case of Jordan 就业产出方程的基本趋势:以约旦为例
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-12-10 DOI: 10.15208/PIEB.2009.47
Arqam Al-Rabbaie, Ahmad A. Alwaked, Yaseen Altawawneh
{"title":"Underlying Trends in Employment Output Equation: The Case of Jordan","authors":"Arqam Al-Rabbaie, Ahmad A. Alwaked, Yaseen Altawawneh","doi":"10.15208/PIEB.2009.47","DOIUrl":"https://doi.org/10.15208/PIEB.2009.47","url":null,"abstract":"The underlying employment trend (UET) is investigated in Jordanian economy over the period 1989- 2004 using structural time series model (STSM). This approach allows to modelling the trend in its stochastic form introduced by Harvey (1989). The results show that a stochastic trend is preferred to deterministic trend. In addition, the inclusion or exclusion of the conventional deterministic trend leads to overestimated output elasticity. Furthermore, the UET is found to be non-linear, down downward sloping.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133750469","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns? 跳，跳过和跳跃-现代“跳跃”测试在股票回报中发现了什么?
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-11-09 DOI: 10.2139/ssrn.1648986
Michael Schwert
{"title":"Hop, Skip and Jump - What are Modern 'Jump' Tests Finding in Stock Returns?","authors":"Michael Schwert","doi":"10.2139/ssrn.1648986","DOIUrl":"https://doi.org/10.2139/ssrn.1648986","url":null,"abstract":"This paper applies several recently developed jump detection tests to intraday stock price data sampled at various frequencies. It finds that the choice of sampling frequency has an effect on both the number of jumps detected, as well as the timing of the jumps. Furthermore, although the different tests are formally designed to identify the same phenomenon, the number and timing of the jumps differ dramatically across the different tests when applied to the same data. These results suggest that the jump detection tests are identifying different types of jump behavior in data, and are not necessarily to be viewed as substitutes for one another.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129070153","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 9
Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the Klems Dataset 在存在异常值和杠杆点的情况下估计TFP:对Klems数据集的检验
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-03-31 DOI: 10.2139/ssrn.1371169
R. Macdonald
{"title":"Estimating TFP in the Presence of Outliers and Leverage Points: An Examination of the Klems Dataset","authors":"R. Macdonald","doi":"10.2139/ssrn.1371169","DOIUrl":"https://doi.org/10.2139/ssrn.1371169","url":null,"abstract":"This paper examines the effect of aberrant observations in the Capital, Labour, Energy, Materials and Services (KLEMS) database and a method for dealing with them. The level of disaggregation, data construction and economic shocks all potentially lead to aberrant observations that can influence estimates and inference if care is not exercised. Commonly applied pre-tests, such as the augmented Dickey-Fuller and the Kwaitkowski, Phillips, Schmidt and Shin tests, need to be used with caution in this environment because they are sensitive to unusual data points. Moreover, widely known methods for generating statistical estimates, such as Ordinary Least Squares, may not work well when confronted with aberrant observations. To address this, a robust method for estimating statistical relationships is illustrated.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121816388","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
A Conditional Asset Pricing Model with the Optimal Orthogonal Portfolio 具有最优正交组合的条件资产定价模型
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-03-16 DOI: 10.2139/ssrn.1360640
Hossein Asgharian
{"title":"A Conditional Asset Pricing Model with the Optimal Orthogonal Portfolio","authors":"Hossein Asgharian","doi":"10.2139/ssrn.1360640","DOIUrl":"https://doi.org/10.2139/ssrn.1360640","url":null,"abstract":"This paper develops a conditional asset pricing model with latent factors, based on the optimal orthogonal portfolio approach. We construct a factor portfolio that embodies all the latent factors important for pricing a given set of test assets. The out-of-sample performance of this portfolio is evaluated against several conventional factors, using both cross-sectional and time-series regression approaches. Our results show that our suggested factor outperforms all the predefined factors regarding the contribution in return variations as well as the pricing ability. Our suggested methodology may have important applications in risk management, portfolio selection and performance evaluation.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"7 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126034394","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan 日本赴新西兰和台湾旅游人数的短期和长期波动模型
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-03-10 DOI: 10.2139/ssrn.1356567
Chia‐Lin Chang, M. McAleer, C. Lim
{"title":"Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan","authors":"Chia‐Lin Chang, M. McAleer, C. Lim","doi":"10.2139/ssrn.1356567","DOIUrl":"https://doi.org/10.2139/ssrn.1356567","url":null,"abstract":"This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to Taiwan and New Zealand , respectively. In order to model appropriately the volatilities of international tourist arrivals, we use symmetric and asymmetric conditional volatility models that are commonly used in financial econometrics, namely the GARCH (1,1), GJR (1,1) and EGARCH (1,1) models. The data series are for the period January 1997 to December 2007. The volatility estimates for the monthly growth in Japanese tourists to New Zealand and Taiwan are different, and indicate that the former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby negative shocks increase volatility but positive shocks of very similar magnitude decrease volatility. These empirical results seem to be similar to a wide range of financial stock market prices, so that the models used in financial economics, and hence also the issues related to risk and leverage effects, are also applicable to international tourism flows.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-03-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132835845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
The Impact of the Extreme Events on Commodity Market Volatility 极端事件对商品市场波动的影响
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-02-16 DOI: 10.2139/ssrn.1344451
Jian Hua, Peter Went
{"title":"The Impact of the Extreme Events on Commodity Market Volatility","authors":"Jian Hua, Peter Went","doi":"10.2139/ssrn.1344451","DOIUrl":"https://doi.org/10.2139/ssrn.1344451","url":null,"abstract":"Using an outlier identification methodology this study assesses the impact of extreme news and economic announcements have on the daily log-returns of 16 commodity spot price series and 25 commodity index series and their conditional volatility. Between January 1, 1997 and December 31, 2007, the impact of these events on returns and on estimated conditional volatility corroborates the existence of mechanism transmitting extreme events on the return generating process. Removing the impact of the extreme events improves the return and volatility estimates.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"43 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-02-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131254706","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Electoral Motives, Partisan Motives and Dynamic Optimality with Many Taxes: An International Investigation 选举动机、党派动机和多税动态最优:一项国际调查
ERN: Time-Series Models (Single) (Topic) Pub Date : 2009-01-25 DOI: 10.1111/j.1467-9485.2009.00474.x
D. Christopoulos, J. Loizides, E. Tsionas
{"title":"Electoral Motives, Partisan Motives and Dynamic Optimality with Many Taxes: An International Investigation","authors":"D. Christopoulos, J. Loizides, E. Tsionas","doi":"10.1111/j.1467-9485.2009.00474.x","DOIUrl":"https://doi.org/10.1111/j.1467-9485.2009.00474.x","url":null,"abstract":"In this paper, we argue that tax-smoothing results based on total tax revenues may be of limited importance if in fact governments are concerned with the inter-temporal distortionary effects of many kinds of taxes, when electoral and partisan motives also have to be taken into account. We develop an inter-temporal model that predicts that tax revenue mix should follow random walks. The model is tested with international data using both time series and panel-based unit root tests. We find that during the examined period, 1973-2003, governments are not optimizing tax components in the sense of Barro.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"83 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134398410","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data ARFIMA模型中阈值效应的检验:在美国失业率数据中的应用
ERN: Time-Series Models (Single) (Topic) Pub Date : 2008-12-04 DOI: 10.2139/ssrn.1311866
A. Lahiani, O. Scaillet, O. Scaillet
{"title":"Testing for Threshold Effect in ARFIMA Models: Application to US Unemployment Rate Data","authors":"A. Lahiani, O. Scaillet, O. Scaillet","doi":"10.2139/ssrn.1311866","DOIUrl":"https://doi.org/10.2139/ssrn.1311866","url":null,"abstract":"Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or the fractional integration parameters, and can be tested for using LM tests. Monte Carlo experiments show the desirable finite sample size and power of the test with an exact maximum likelihood estimator of the long memory parameter. Simulations also show that a model selection strategy is available to discriminate between the competing threshold ARFIMA models. The methodology is applied to US unemployment rate data where we find a significant threshold effect in the ARFIMA representation and a better forecasting performance relative to TAR and symmetric ARFIMA models.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127968518","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Joint Modeling of Call and Put Implied Volatility 看涨和看跌隐含波动率的联合建模
ERN: Time-Series Models (Single) (Topic) Pub Date : 2008-07-17 DOI: 10.2139/ssrn.1033804
Katja Ahoniemi, Markku Lanne
{"title":"Joint Modeling of Call and Put Implied Volatility","authors":"Katja Ahoniemi, Markku Lanne","doi":"10.2139/ssrn.1033804","DOIUrl":"https://doi.org/10.2139/ssrn.1033804","url":null,"abstract":"This paper exploits the fact that implied volatilities calculated from identical call and put options have often been empirically found to differ, although they should be equal in theory. We propose a new bivariate mixture multiplicative error model and show that it is a good fit to Nikkei 225 index call and put option implied volatility (IV). A good model fit requires two mixture components in the model, allowing for different mean equations and error distributions for calmer and more volatile days. Forecast evaluation indicates that, in addition to jointly modeling the time series of call and put IV, cross effects should be added to the model: put-side implied volatility helps forecast call-side IV, and vice versa. Impulse response functions show that the IV derived from put options recovers faster from shocks, and the effect of shocks lasts for up to six weeks.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"60 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125387602","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 26
The Direction of Causality in Israel's Apple Market: From Retail to Wholesale, or the Reverse? 以色列苹果市场的因果关系:从零售到批发，还是相反?
ERN: Time-Series Models (Single) (Topic) Pub Date : 2008-07-08 DOI: 10.2139/ssrn.1156742
G. Yom Din, Alexander Slutsky
{"title":"The Direction of Causality in Israel's Apple Market: From Retail to Wholesale, or the Reverse?","authors":"G. Yom Din, Alexander Slutsky","doi":"10.2139/ssrn.1156742","DOIUrl":"https://doi.org/10.2139/ssrn.1156742","url":null,"abstract":"We studied the direction of causality in the Israeli apple market by studying prices of the Granny Smith variety of apple. The Granny Smith was chosen because its sweet-sour taste makes the price less sensitive than in other apple varieties. We used standard procedures of the Granger causality test to study weekly wholesale and retail price data from the Tel Aviv and Jerusalem markets during June 2001 to March 2008. In contrast to most published studies, not one but four product sizes were examined. In addition, our data enabled us to evaluate the influence of a new product size (75 mm) on the prices of other sizes.For all sizes except 75 mm, co-integration of the price time-series was identified. The direction of causality, from retail to wholesale market and back, was tested for each size and market, and appropriate lags (from 1 to 3 weeks) were fitted. The absence of co-integration in the 75 mm size can probably be explained by retail trade \"technology\" and consumer perception of this size as a \"luxury\" item.The short lags confirm our hypothesis that the very close connection between wholesale and retail markets is due to the small geographic distance between the studied markets and the well-developed infrastructure.","PeriodicalId":418701,"journal":{"name":"ERN: Time-Series Models (Single) (Topic)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123534610","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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