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1. The Markov switching ACD model

   Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan

   Published: 2002

   Publisher:  Univ., Fachbereich Wirtschaftswiss., Frankfurt am Main

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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Print
   DDC Categories:	330; 380; 650; 670
   Series:	Working paper series / Johann Wolfgang Goethe-Universität Frankfurt, Fachbereich Wirtschaftswissenschaften : [...], Finance & accounting ; No. 90
   Subjects:	Zeitreihenanalyse; Verweildauer; ARCH-Prozess; Markov-Kette; Wertpapierhandel; Mikrostrukturtheorie <Kapitalmarkttheorie>; Theorie; Schätzung; Exponential smoothing; Zeitreihenanalyse; Verweildauer; ARCH-Prozess; GARCH-Prozess; Markov-Prozess; Wertpapierhandel; Wertpapiermarkt; Mikrostrukturtheorie <Kapitalmarkttheorie>; Schätzung
   Other subjects:	(stw)Zeitreihenanalyse; (stw)Dauer; (stw)ARCH-Modell; (stw)Markov-Kette; (stw)Wertpapierhandel; (stw)Marktmikrostruktur; (stw)Theorie; (stw)Schätzung; (stw)USA; financial transaction data; autoregressive conditional duration models; nonlinear time series models; finite mixture distributions; Markov switching models; EM algorithm; market microstructure theory; Arbeitspapier; Graue Literatur
   Scope:	41 S., graph. Darst., 30 cm
   Notes:	Literaturverz. S. 39 - 42

2. The Markov switching ACD model

   Author: Hujer, Reinhard; Vuletić, Sandra; Kokot, Stefan

   Published: 2002

   Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Online
   Other identifier:	urn: urn:nbn:de:hebis:30-18308
   DDC Categories:	330; 380; 650; 670
   Series:	Universität Frankfurt am Main. Fachbereich Wirtschaftswissenschaften: [Working paper series / Finance and accounting] Working paper series, Finance & Accounting ; No. 90
   Subjects:	Zeitreihenanalyse; Verweildauer; ARCH-Prozess; Markov-Kette; Wertpapierhandel; Mikrostrukturtheorie <Kapitalmarkttheorie>; Theorie; Schätzung; Exponential smoothing; Zeitreihenanalyse; Verweildauer; ARCH-Prozess; GARCH-Prozess; Markov-Prozess; Wertpapierhandel; Wertpapiermarkt; Mikrostrukturtheorie <Kapitalmarkttheorie>; Schätzung
   Other subjects:	(stw)Zeitreihenanalyse; (stw)Dauer; (stw)ARCH-Modell; (stw)Markov-Kette; (stw)Wertpapierhandel; (stw)Marktmikrostruktur; (stw)Theorie; (stw)Schätzung; (stw)USA; financial transaction data; autoregressive conditional duration models; nonlinear time series models; finite mixture distributions; Markov switching models; EM algorithm; market microstructure theory; Arbeitspapier; Graue Literatur
   Scope:	Online-Ressource

3. Monetary policy across inflation regimes

   Author: Gargiulo, Valeria; Matthes, Christian; Petrova, Katerina

   Published: [2024]

   Publisher:  Federal Reserve Bank of New York, [New York, NY]

   Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy... more

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   Kiel: ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel

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   DS 207

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   Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy are markedly different when year-over-year inflation exceeds 5.5 percent. Below this threshold, changes in monetary policy have a short-lived effect on prices, but no effect on the unemployment rate, giving a potential explanation for the recent "soft landing" in the United States. Above this threshold, the effects of monetary policy surprises on both inflation and unemployment can be larger and longer lasting.

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   Source:	Union catalogues
   Language:	English
   Media type:	Book
   Format:	Online
   Other identifier:	doi: 10.59576/sr.1083 hdl: 10419/284043
   Series:	Staff reports / Federal Reserve Bank of New York ; no. 1083 (January 2024)
   Subjects:	monetary policy shocks; inflation; regime-dependence; outliers; nonlinear time series models
   Scope:	1 Online-Ressource (circa 32 Seiten), Illustrationen