While the Þ nding of fractional cointegration renders the usual inference carried out in this framework invalid, the potential long-memory property of the data allows us to suggest

The results above clearly confirm previous work that suggests that spurious fractional cointegration can be created in the presence of level structural breaks; specifically, the

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After presenting the evidence from the literature, this study runs consumption models in which private consumption, GDP, government spending, taxes, transfers and

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These observations point to the need to develop a better understand of the interaction and overlap between the critical pedagogic approaches (active learning and theoretical debate),

Interestingly, Bandi and Perron (2006) stress the fractional order of volatility is found in the non-stationary region whereas Christensen and Nielson (2006) and Nielsen (2007)

Interestingly, Bandi and Perron (2006) stress the fractional order of volatility is found in the non-stationary region whereas Christensen and Nielson (2006) and Nielsen (2006)

(2005) show that splitting past realized volatility into its separate components yields an improved forecast, adding implied volatility allows examining whether the continu- ous

Community Development Employment Program (CDEP) and its ineffectiveness at achieving its goal of alleviating economic disparity; the 2007 Northern Territory National Emergency

Forecasting realized volatility using a long memory stochastic volatility model: estimation prediction and seasonal ad-

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Chargeable gains and real property gains tax liabilities, including situations involving closely related persons, parties under common control, real property companies and

In order to apply for this Cluster Scholarship, candidates shall select the specific PhD program “Computer and Control Engineering - MOBILITY Cluster - Italy 2020 project gomma

Suggested Citation: Asai, Manabu; Chang, Chia-Lin; McAleer, Michael (2017) : Realized Stochastic Volatility with General Asymmetry and Long Memory, Tinbergen Institute Discussion

To provide information to ACT Health staff, volunteers and contractors 1 about how to use interpreters, as required by the Policy Language Services (Interpreters, Multilingual

We need to better understand why some groups of people are at particular risk of becoming obese, such as women, especially those of lower socioeconomic status, migrants, and

In this paper, we considered a new realized stochastic volatility model with general Gegenbauer long memory (RSV-GGLM), which encompasses the new RSV model with seasonal long