Zobrazeno 1 - 10
of 13
pro vyhledávání: '"Ralf Becker"'
Publikováno v:
Altansukh, G, Becker, R, Bratsiotis, G J & Osborn, D 2017, ' What is the Globalisation of Inflation? ', Journal of Economic Dynamics and Control, vol. 74, pp. 1-27 . https://doi.org/10.1016/j.jedc.2016.09.006
This paper studies the globalisation of CPI inflation by analysing core, energy and food components, testing for structural breaks in the relationships between domestic inflation and a corresponding country-specific foreign inflation series at the mo
Publikováno v:
Econometrics; Volume 6; Issue 1; Pages: 7
Becker, R, O'Neill, R & Clements, A 2018, ' A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns ', Econometrics, vol. 6, no. 1, 7 . https://doi.org/10.3390/econometrics6010007
Econometrics, Vol 6, Iss 1, p 7 (2018)
Becker, R, O'Neill, R & Clements, A 2018, ' A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns ', Econometrics, vol. 6, no. 1, 7 . https://doi.org/10.3390/econometrics6010007
Econometrics, Vol 6, Iss 1, p 7 (2018)
This paper introduces a multivariate kernel based forecasting tool for the prediction of variance-covariance matrices of stock returns. The method introduced allows for the incorporation of macroeconomic variables into the forecasting process of the
Publikováno v:
The Journal of Energy Markets. 6:99-140
Energy prices are highly volatile and often feature unexpected spikes. It is the aim of this paper to examine whether the occurrence of these extreme price events displays any regularities that can be captured using an econometric model. Here we trea
Publikováno v:
Economic Modelling. 29:2504-2513
This paper empirically analyses the interest rate transmission mechanism in the United Kingdom by exploring the pass-through of the official rate to the money market rate and of the market rate to the mortgage rate. Potential asymmetries, due to fina
Autor:
Denise R. Osborn, Ralf Becker
Publikováno v:
Journal of Applied Econometrics. 27:795-811
A new procedure is developed for modelling and testing nonlinearity of a smooth transition form, allowing the possibility that the transition variable is a weighted function of lagged observations. This is achieved through use of a beta function and
Publikováno v:
Journal of Economics and Finance. 36:675-690
Numerous authors have suggested that the price-earnings (P/E) ratio can be used to predict the future movement of stock prices. Such arguments are based on the belief that P/E ratios are mean-reverting. However, are the S&P P/E ratios really mean rev
Publikováno v:
Journal of Banking & Finance. 33:1033-1038
Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of
Autor:
Ralf Becker, Stan Hurn
Publikováno v:
Economic Analysis and Policy (EAP). 39(2):311-326
This paper considers an important practical problem in testing time-series data for nonlinearity in mean, namely, the distortion in the size of the test encountered if the the data are heteroskedastic. It is shown that using a heteroskedastic consist
Publikováno v:
Economic Record. 83:371-382
During periods of market stress, electricity prices can rise dramatically. Electricity retailers cannot pass these extreme prices on to customers because of retail price regulation. Improved prediction of these price spikes therefore is important for
Publikováno v:
Journal of Banking & Finance. 31:2535-2549
This paper contributes to our understanding of the informational content of implied volatility. Here we examine whether the S&P 500 implied volatility index (VIX) contains any information relevant to future volatility beyond that available from model