Suchergebnisse

Teil I Deskriptive Statistik -- Einführung -- Eindimensionale empirische Verteilungen -- Eindimensionale Maßzahlen -- Konzentrationsmessung -- Zweidimensionale Maßzahlen -- Einfache lineare Regression -- Verhältniszahlen -- Teil II Wahrscheinlichkeitsrechnung -- Wahrscheinlichkeitsrechnung -- Eindimensionale theoretische Verteilungen -- Spezielle Verteilungen -- Teil III Induktive Statistik -- Grundlagen der induktiven Statistik -- Punktschätzung -- Intervallschätzung -- Hypothesentests -- Zweidimensionale theoretische Verteilungen -- Das lineare Regressionsmodell -- Teil IV Tabellen -- Index.

Teil I Deskriptive Statistik -- Einführung -- Eindimensionale empirische Verteilungen -- Eindimensionale Maßzahlen -- Konzentrationsmessung -- Zweidimensionale Maßzahlen -- Einfache lineare Regression -- Verhältniszahlen -- Teil II Wahrscheinlichkeitsrechnung -- Wahrscheinlichkeitsrechnung -- Eindimensionale theoretische Verteilungen -- Spezielle Verteilungen -- Teil III Induktive Statistik -- Grundlagen der induktiven Statistik -- Punktschätzung -- Intervallschätzung -- Hypothesentests -- Zweidimensionale theoretische Verteilungen -- Das lineare Regressionsmodell -- Teil IV Tabellen -- Index.

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence shows that the tests perform better than the standard Phillips-Perron or Dickey-Fuller tests in the region of the null.

We show that the power of the KPSS-test against integration, as measured by divergence rates of the test statistic under the alternative, remains the same when residuals from an OLS-regression rather than true observations are used. The divergence rate is independent of the order of integration of the cointegrating regressors which are allowed to be I(1 + dX) in our set up.

This paper proposes simple Hausman-type tests to check for bias in the log-periodogram regression of a time series believed to be long memory. The statistics are asymptotically standard normal on the null hypothesis that no bias is present, and the tests are consistent. The use of the tests in conjunction with tests of significance of the long memory parameter is illustrated by Monte Carlo experiments.

It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods. © 2021 by the authors. Licensee MDPI, Basel, Switzerland.

It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods of integration and disintegration that coincide with bull and bear market periods in the stock market. An econometric argument about the spectral behavior of long-memory time series leads to the conclusion that there is a stronger differentiation between bonds with different default risks. This implied the possibility of macroeconomic and fiscal divergence between the EMU countries before the crisis periods.

AbstractThere are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a detailed comparative Monte Carlo study to guide empirical researchers in their choice of appropriate methodologies. Special attention is paid on empirically relevant issues such as assumptions about the form of the underlying process and the ability of the procedures to distinguish between short-run correlation and long-run equilibria. It is found that several approaches are severely oversized in presence of correlated short-run components and that the methods show different performance in terms of power when applied to common-component models instead of triangular systems.

This paper analyzes market integration among long term government bonds in the Eurozone since the inception of the Euro in 1999. While it is commonly assumed that markets for EMU government bonds were closely integrated prior to the EMU debt crisis, we find that there is significant time variation in their relationship. There are periods of integration and disintegration, and differences between core and periphery countries can be observed long before the EMU debt crisis. To obtain insights into the sources of the observed time variation, we analyze the dependence on variables related to market sentiment, risk and risk aversion. The drivers of market integration are found to be similar to those for the well documented flight-to-quality effects from stocks to bonds, suggesting that in times of crisis investors do not only shift their portfolios from stocks to bonds, but there is also a stronger differentiation between more and less risky bonds. The persistence of these differentials leads to the conclusion that (at least in times of crisis) the pricing of EMU government bonds implied the possibility of macroeconomic and fiscal divergence between the EMU countries.

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased signi cantly after this period. This could be a sign of higher sovereign credit risk (and possibly even redenomination risk) caused by the debt crisis in the euro area. We nd long-memory behavior before and after the breakpoints and empirical evidence for positive excess kurtosis and GARCH-e ects when persistence increases.