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Thu, 20 Mar 2014 13:23:46 +0100Thu, 20 Mar 2014 13:23:46 +0100Factor substitution and factor augmenting technical progress in the US : a normalized supply-side system approach
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33324
Using a normalized CES function with factor-augmenting technical progress, we estimate a supply-side system of the US economy from 1953 to 1998. Avoiding potential estimation biases that have occurred in earlier studies and putting a high emphasis on the consistency of the data set, required by the estimated system, we obtain robust results not only for the aggregate elasticity of substitution but also for the parameters of labor and capital augmenting technical change. We find that the elasticity of substitution is significantly below unity and that the growth rates of technical progress show an asymmetrical pattern where the growth of laboraugmenting technical progress is exponential, while that of capital is hyperbolic or logarithmic.Rainer Klump; Peter McAdam; Alpo Willmanworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/33324Thu, 20 Mar 2014 13:23:46 +0100Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/22873
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of both liquid and illiquid NYSE stocks, we show that the model captures the dynamic and distributional properties of the data well and is able to correctly predict future distributions.Nikolaus Hautsch; Peter Malec; Melanie Schienleworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/22873Fri, 07 Oct 2011 00:00:00 +0200Monetary factors and inflation in Japan
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7027
Recently, the Bank of Japan outlined a “two perspectives” approach to the conduct of monetary policy that focuses on risks to price stability over different time horizons. Interpreting this as pertaining to different frequency bands, we use band spectrum regression to study the determination of inflation in Japan. We find that inflation is related to money growth and real output growth at low frequencies and the output gap at higher frequencies. Moreover, this relationship reflects Granger causality from money growth and the output gap to inflation in the relevant frequency bands. Keywords: spectral regression, frequency domain, Phillips curve, quantity theory. JEL Numbers: C22, E3, E5Katrin Assenmacher-Wesche; Stefan Gerlach; Toshitaka Sekineworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/7027Thu, 17 Sep 2009 09:30:48 +0200Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten : eine Anwendung von Autoregressive-conditional-duration-Modellen auf die IPO der Deutschen Telekom
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3627
Joachim Grammig; Reinhard Hujer; Stefan Kokot; Kai-Oliver Maurerworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3627Tue, 11 Oct 2005 13:27:03 +0200The Markov switching ACD model
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3650
We propose a new framework for modelling time dependence in duration processes on financial markets. The well known autoregressive conditional duration (ACD) approach introduced by Engle and Russell (1998) will be extended in a way that allows the conditional expectation of the duration process to depend on an unobservable stochastic process, which is modelled via a Markov chain. The Markov switching ACD model (MSACD) is a very flexible tool for description and forecasting of financial duration processes. In addition the introduction of an unobservable, discrete valued regime variable can be justified in the light of recent market microstructure theories. In an empirical application we show, that the MSACD approach is able to capture several specific characteristics of inter trade durations while alternative ACD models fail. Furthermore, we use the MSACD to test implications of a sequential trade model.Reinhard Hujer; Sandra Vuletić; Stefan Kokotworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3650Mon, 10 Oct 2005 17:12:45 +0200Prediction of financial downside-risk with heavy-tailed conditional distributions
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4484
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of modeling foreign exchange-rates and demonstrates their superiority over use of normal or Student´s t GARCH models. Revised edition published in: Rachev, S.T. (ed.) Handbook of Heavy Tailed Distributions in Finance, Elesvier/North Holland, 2003, 384-404 (with Paolella).Stefan Mittnik; Marc S. Paolellaworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4484Mon, 13 Jun 2005 09:12:11 +0200Forecasting stock market volatility and the informational efficiency of the DAX-index options market
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4499
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market.Holger Claessen; Stefan Mittnikworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4499Mon, 13 Jun 2005 09:08:16 +0200Predicting recessions with interest rate spreads : a multicountry regime-switching analysis
http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4529
This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover, our simple univariate model turns out to be a filter that transforms accurately term spread changes into turning point predictions. The term structure is confirmed to be a reliable recession indicator. However, the results of probit estimations show that the markov-switching filter does not significantly improve the forecasting ability of the spread.Ralf Ahrensworkingpaperhttp://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4529Mon, 13 Jun 2005 08:58:01 +0200