Time Inhomogeneous Multiple Volatility Modeling

Price variations at speculative markets exhibit positive autocorrelationand cross correlation. Due to large parameter spaces necessaryfor joint modeling of variances and covariances, multivariateparametric volatility models become easily intractable in practice.We propose an adaptive procedure that identifies periods ofsecond-order homogeneity for each moment in time. To overcomethe high dimensionality of the problem we transform the multivariateseries into a set of univariate processes. We discuss thoroughlythe implementation of the adaptive technique. Theoretical andMonte Carlo results are given. We provide two applications ofthe new method. For a bivariate exchange rate series we comparethe multivariate GARCH approach with our method and find thelatter to be more in line with the underlying assumption ofindependently distributed innovations. Analyzing a 23-dimensionalvector of asset returns we underscore the case for adaptivemodeling in high-dimensional systems.     

Determinants of Current Account Imbalances in 16 OECD Countries: An Out-Of-Sample Perspective

We employ panel data as well as country-specific models to uncover empirically the determinants of current account imbalances. We find evidence of slope heterogeneity likely rendering the fixed-effect estimator inconsistent. Mean group estimation is followed to overcome the latter difficulty. Both estimation techniques are evaluated by means of in- and out-of-sample criteria. The mean group estimator outperforms the fixed-effect approach and, moreover, only three economic variables are found to impact on the current account balance significantly. These are the government budget balance, the domestic output gap and the changes of the terms of trade. We finally propose a parsimonious dynamic model of the current account, including only these variables and illustrate that it has similar predictive accuracy as country-specific benchmark models. JEL no. F32, C23, C53     

The LeChatelier-Samuelson principle revisited

Within the context of a linear Leontief model, the LeChatelier-Samuelson principle examines the effects of an increase in some final demand on the output levels under the constraint that the production of certain goods is held at its original value. The principle states that the increase in any output is larger when fewer output levels are kept constant. The present paper discusses bounds for such incremental changes, second-order effects, the consequences on the markets for the products with restricted output levels, and generalizations of the original assumptions.I would like to thank two anonymous referees for their helpful comments.     

On the generalization of Rao,Hartley and Cochran's scheme

Summary The problem considered in this paper is a generalization of the usual Rao, Hartley and Cochran (RHC) scheme. In the usual RHC scheme the population ofN units is randomly divided inton groups wheren is the size of the sample. In this paper we propose to divide the population under consideration into (n+k) random groups wherek is some positive integer. Then a sample ofn groups is selected by using simple random sampling without replacement (SRSWOR). The expressions for the unbiased estimator of population total, its variance and the unbiased estimate of variance have been obtained under the proposed sheme. The condition under which the proposed sheme is more efficient than the usual RHC scheme has also been investigated.     

On invariant parametric covariance families

Summary In this note we characterize all linear transformations of random vectors which are invariant for a given parametric covariance family. Two one-dimensional covariance families are discussed in detail.