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Please use this identifier to cite or link to this item: http://hdl.handle.net/2108/691

Title: Topics on unobserved component detection for time series
Authors: Liseo, Brunero
Proietti, Tommaso
Fiorentini, Gabriele
Macaro, Christian
Keywords: GDP
long memory
unobserved components
realized volatility
Jeffreys Prior
Reference Prior
time series
Issue Date: 17-Nov-2008
Abstract: The Impact of Vintage on the Persistence of Gross Domestic Product Shocks. The first chapter of the thesis aims to demonstrate that the data revision process affects the persistence of gross domestic product shocks. The analysis is based on two alternative models, the Fractional Unit Root and the Linear Trend, and it benefits from new semiparametric procedures. The analysis of results seems to suggest that changes in the definition of the output significantly affects the performance of the models which are typically used to study the GDP series. - Seasonality in HighFrequency Data. The second chapter of the thesis aims to study the intradaily seasonal pattern of the Dow Jones volatility. An unobserved component analysis, following the socalled ModelBased approach, is examined in order to separate the seasonal pattern from the remaining long and short term components. The major novelty of the work is to explore the seasonal behavior of the volatility as a stochastic comp...
Description: 19. ciclo
URI: http://hdl.handle.net/2108/691
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