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DIW Discussion Papers 1006 / 2010
This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinson (1995a), and shown by Arteche (2004) to be consistent and asymptotically normal in the context of signal ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 1004 / 2010
In this paper, we compare the distribution of price changes between collusive and noncollusive periods for ten major cartels. The first moments focus on previous research. We extend the discussion to the third (skewness) and fourth (kurtosis) moments. However, none of the above descriptive statistics can be considered as a robust test allowing a differentiation between competition and cartel. Therefore, ...
2010| Korbinian von Blanckenburg, Alexander Geist, Konstantin A. Kholodilin
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DIW Discussion Papers 1002 / 2010
A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity investment in Europe, focusing on the comparison between CEE and Western European countries. Our estimations are ...
2010| Kerstin Bernoth, Roberta Colavecchio, Magdolna Sass
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DIW Discussion Papers 997 / 2010
In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the consumer surveys and financial indicators. According to the Diebold-Mariano test of equal predictive ability, ...
2010| Konstantin A. Kholodilin, Maximilian Podstawski, Boriss Siliverstovs
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DIW Discussion Papers 989 / 2010
We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-specific and a time- ...
2010| Kerstin Bernoth, Jürgen von Hagen, Casper G. de Vries
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DIW Discussion Papers 988 / 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important role than spot markets in the case of contracts with shorter maturities, but the relative contribution of the ...
2010| Guglielmo Maria Caporale, Davide Ciferri, Allessandro Girardi
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DIW Discussion Papers 981 / 2010
This note examines the stochastic properties of US term spreads with parametric and semi-parametric fractional integration techniques. Since the observed data (rather than the estimated residuals from a cointegrating regression) are used for the analysis, standard methods can be applied. The results indicate that US Treasury maturity rates are I(1) in most cases, although the order of integration decreases ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana
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DIW Discussion Papers 978 / 2010
We use a life cycle model of consumption and portfolio choice to study the effects of social security on the investment decisions of households for the European case. Our model is mainly based on the one developed by Cocco, Gomes, and Maenhout (2005). We extend it by unemployment risk using Markov chains to model the transition between different employment states. In contrast to most models in the ...
2010| Vladimir Kuzin, Franziska Bremus
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DIW Discussion Papers 977 / 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily data for 107 pairs of bonds, we present unambiguous evidence that trades on EuroMTS have a sizeable informational ...
2010| Guglielmo Maria Caporale, Alessandro Girardi
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DIW Discussion Papers 975 / 2010
This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous studies using a standard fractional ...
2010| Guglielmo Maria Caporale, Luis A. Gil-Alana