in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

This paper proposes new iterative reduced-rank regression procedures for seasonal cointegration analysis. The suggested methods are motivated by the idea that modelling jointly the cointegration restrictions at the different frequencies may induce some efficiency gain in finite samples. Monte Carlo simulations indicate that the new tests and estimators perform well with respect to already exist...

This paper introduces a conditional extreme value volatility estimator (EVT) based on highfrequency returns. The relative performance of the EVT is compared with the discrete-time GARCH and implied volatility models for 1-day and 20-day-ahead forecasts of realized volatility. This is also a first attempt towards detecting any time-series variation in extreme value distributions using high-frequ...

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multiparameter numerical maximum likelihood is also given, and a real data example is worked out. JEL codes: C3; C5.

This note provides a proof of Granger's (1986) error correction model for fractionally cointegrated variables and points out a necessary assumption that has not been noted before. Moreover, a simpler, alternative error correction model is proposed which can be employed to estimate fractionally cointegrated systems in three steps. JEL Classification Code: C32

abstract in this paper, income per capita convergence hypothesis is tested in selected oic countries. for this purpose, we use the time series model and univariate kpss stationary test with multiple structural breaks (carrion-i-silvestre et al. (2005)) over the period 1950-2008. the results show that most oic countries could not catch up toward usa. although because of some positive term of tra...

In this paper, we briefly review the basics of copula theory and the problem of estimating Value at Risk (VaR) of portfolio composed by several assets. We present two VaR estimation models in which each return series is assumed to follow AR(1)-GARCH(1, 1) model and the innovations are simultaneously generated using Gaussian copula and Student t copula. The presented models are applied to estima...

the effect of economic growth and free trade on environment and transnational pollutions is one of the most important current discussions in the field of environmental economics. nowadays, the economics, social and developmental consequences of the climatic changes around the world is increasingly accepted and approved. in fact, the environment is considered as one of the key elements for susta...

This paper deals with the existence of a common European growth cycle and its identification. Based on the analysis of some descriptive statistics in the time and frequency domain there is clear evidence of comovement in output growth among European countries. Univariate Markov switching autoregressions (MS-AR) are used for individual countries in order to detect changes in the mean growth rate...

In this paper the value at risk (VaR) forecasts are compared using three different GARCH models; ARCH(1), GARCH(1,1) and EGARCH(1,1). The implemented method is a one-day ahead out of sample forecast of the VaR. The forecasts are evaluated using the Kupiec test with a five percent significance level. The focus is on three different markets; commodities, equities and exchange rates. The goal of t...