Stylised facts

Stylised facts from output gap measures

This paper compares three models of the output gap in New Zealand – the Reserve Bank of New Zealand’s incumbent MV filter, estimates from a Structural VAR, and a multivariate unobserved components model – and investigates whether there are features that are consistent across the measures of the gap. Various detrending methods are used for benchmarking the output gap measures, including a linear...

Persistence of Innovation: Stylised Facts and Panel Data Evidence

This paper investigates whether firms innovate persistently or discontinuously over time using an innovation panel data set on German manufacturing and service firms for the period 1994–2002. We find that innovation behaviour is permanent at the firm–level to a very large extent. Using a dynamic random effects discrete choice model and a new estimator recently proposed by Wooldrigde (2005), we ...

Clusters and clustering in biotechnology: stylised facts, issues and theories

Do stylised facts of order book markets need strategic behaviour?

This paper studies the role of strategy and the order book market mechanism in price dynamics and the order flow behaviour. To this end we analyse a zero-intelligence agent model of a dynamic limit order market. Stylised facts of limit order markets are shown to be influenced and, in some cases, governed by the market mechanism rather than strategic interaction. Positive correlation in order ty...

Stylised facts of nancial time series and hidden Markov models in continuous time