Articles by timeseriesireland

AIB Stock Price, EGARCH-M, and rgarch

May 17, 2011 | timeseriesireland

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of ... [Read more...]

The New Irish House Price Index

May 14, 2011 | timeseriesireland

On Friday, the CSO released a new house (and apartment) price index, for the national, Dublin, and national excluding Dublin regions. The release has been noted and covered by the great Irish Economy and Namawinelake blogs. I want to briefly look at some of the statistical properties of this series ... [Read more...]

Potential Output and the Irish Output Gap

May 14, 2011 | timeseriesireland

One prominent feature of early degree-level macroeconomics courses is the concept of ‘potential output’, which one could roughly define as the level of output (GDP) at which inflation is not ‘accelerating’. Potential output is of interest to macroeconomists when analysing the question of output gaps and macroeconomic stabilisation policies by ... [Read more...]

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