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Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
Business cycles impulse response filters frequency domain autoregressive models
2010/9/7
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering pr...
The Timing of Currency Crises: The Case of the ERM
ERM crises REH boundedly rational learning VAR models
2010/9/7
The ERM crisis of 1992 in the UK appears to have been preceded by a period of steadily worsening growth and unemployment which, due to the constraint of ERM membership, monetary policy changes could n...
The Timing of Currency Crises: The Case of the ERM
ERM crises REH boundedly rational learning VAR models
2010/9/7
The ERM crisis of 1992 in the UK appears to have been preceded by a period of steadily worsening growth and unemployment which, due to the constraint of ERM membership, monetary policy changes could n...
Even before the August 2007 credit crunch the interaction between real and financial variables had become a central issue in macroeconomics, particularly to Central Bankers. Different theoretical mode...
Even before the August 2007 credit crunch the interaction between real and financial variables had become a central issue in macroeconomics, particularly to Central Bankers. Different theoretical mode...
Macroeconomic Phase Transitions Detected from the Dow Jones Industrial Average Time Series
DJI macroeconomic cycle phase transitions segmentation clustering
2010/11/1
In this paper, we perform statistical segmentation and clustering analysis of the Dow Jones Industrial Average time series between January 1997 and August 2008.Modeling the index movements and log-ind...
In this paper, we present theorems specifying the critical values for series associated
with debts arranged in the order of their duration.
A quantum statistical approach to simplified stock markets
quantum statistical stock markets
2010/11/1
We use standard perturbation techniques originally formulated in quantum (statistical)mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In partic...
Statistical mixing and aggregation in Feller diffusion
New applications of statistical mechanics Stochastic processes Rigorous results in statistical mechanics
2010/11/2
We consider Feller mean-reverting square-root diffusion, which has been applied to model a wide variety of processes with linearly state-dependent diffusion,such as stochastic volatility and interest ...
Introducing Chaos in Economic Gas-like Models
Complex Systems Chaos Econophysics Gas-like Models Money Dynamics Chaotic Simulation
2010/10/29
This paper considers ideal gas-like models of trading markets, where each agent is identified as a gas molecule that interacts with others trading in elastic or money-conservative collisions. Traditio...
Statistical thermodynamics of economic systems
Econophysics statistical thermodynamics money function
2010/10/29
We formulate thermodynamics of economic systems in terms of an arbitrary probability distribution for a conserved economic quantity. As in statistical physics, thermodynamic macroeconomic variables em...
A k-generalized statistical mechanics approach to income analysis
Personal income distribution inequality generalized statistics
2010/10/29
This paper proposes a statistical mechanics approach to the analysis of income distribution and inequality. A new distribution function, having its roots in the framework of -generalized statistics, ...
Statistical Properties of Fluctuations: A Method to Check Market Behavior
Statistical Properties Fluctuations Check Market Behavior
2010/11/1
We analyze the Bombay stock exchange (BSE) price index over the period of last 12 years. Keeping in mind the large fluctuations in last few years, we carefully find out the transient, non-statistical ...