Discrete Spectral Analysis. The Case of Industrial Production in Selected European Countries
Journal Title: Dynamic Econometric Models - Year 2015, Vol 15, Issue
Abstract
The aim of this paper is to show the usefulness the discrete spectral analysis in identification cyclical fluctuations. The subsampling procedure was applied to construct the asymptotically consistent test for Fourier coefficient and frequency significance. The case of monthly production in industry in European countries (thirty countries) was considered. Using proposed approach the frequencies concerning business fluctuations, seasonal fluctuations and trading-day effects fluctuations were recognized in considered data sets. The comparison with existing procedures was shown.
Authors and Affiliations
Łukasz Lenart
Keywords
Related Articles
- EP ID EP197051
- DOI 10.12775/DEM.2015.002
- Views 69
- Downloads 0
Markov Switching Models with Application to Contagion Effect Analysis in the Capital Markets
This article presents the analysis of the contagion effect in the capital markets on the basis of the Markov switching models MS. The research is based on the return of the indexes. There is a distinction of two regimes...
Modelling and Forecasting Business Cycle in CEE Countries using a Threshold Approach
We propose to apply a time-series-based nonlinear mechanism in the threshold autoregression (TAR) form in order to examine business cycles in Central and Eastern European economies and compare them to the entire EU busin...
Bayesian Analysis of the Box-Cox Transformation in Stochastic Volatility Models
In the paper, we consider the Box-Cox transformation of financial time series in Stochastic Volatility models. Bayesian approach is applied to make inference about the Box-Cox transformation parameter (). Using daily da...
Regime-dependent Assessment of Risk Concerning the International Aviation Inclusion Into the EU ETS
In this article the European Union Aviation Allowances (EUAA) price risk, associated with the activity of aircraft operators within the European Economic Area (EEA), has been evaluated across the low and high volatility...
European Equity Market Integration and Optimal Investment Horizons – Evidence from Wavelet Analysis
In the paper the process of equity market integration in Europe is examined from the wavelet perspective. The method applied is the Continuous Discrete Wavelet Transform that enables to perform global and local wavelet v...