Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price movements is not always negatively correlated as assumed in the stylized facts in the finance literature. Depending on the sampling frequency, the estimated copulas exhibit some kind of overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose.High Frequency Data, Non- and Semiparametric Copulas, Overreaction, Tail Dependence, Compass Rose

Migratory flows in Spain: a nonparametric and semiparametric approach

Labour market is characterized in Spain by a high persistence in unemployment rates. One of the main reasons of this persistence is the lack of labour mobility. The present paper addresses this issue empirically and analyses the determinants of migration in Spain from a regional standpoint. We used a panel data set that includes annual bilateral migratory flows between the 17 Spanish regions from 1995 through 2000. For this purpose, after a descriptive analysis, we develop a nonparametric approach to show the factors that influence in the magnitude of migratory flows. Later on, semiparametric estimation techniques are applied to provide more econometric evidence regarding migratory flows. Main conclusions are as follows: first, a high inertia in the migratory flows exists, that it is to say, migratory movements are very persistent; second, migratory flows mainly respond, though weakly, to the differentials of wages, unemployment rates and house prices between regions; third, migratory flows are also affected, to a great extent, by non economic factors. Keywords: migratory flows, regions, unemployment, wages. JEL classification: J61, R23, C14

Parametric and Semiparametric Estimation of the Adoption of Work Teams

This paper is concerned about the adoption of work teams and the factors that facilitate team adoption. It focuses on four factors - trade union, technological change, training of the workforce and shared mode of compensation. Both parametric and semiparametric estimation methods are used to estimate the association of these factors with team adoption. A nonparametric confidence band test is used to test the parametric specification of probit model. The test rejects the distributional assumption of the parametric probit model. The semiparametric estimates show that trade union density is not associated with team adoption while prodit sharing, new technology and training provisions for more employees facilitate the adoption of work teamsWork Teams; Probit; Confidence Band; Semiparametric

Long memory in the Ukrainian stock market

This paper examines the dynamics of stock prices in Ukraine by estimating the degree of persistence of the PFTS stock market index. Using long memory techniques we show that the log prices series is I(d) with d slightly above 1, implying that returns are characterised by a small degree of long memory and thus are predictable using historical data. Moreover, their volatility, measured as the absolute and squared returns, also displays long memory. Finally, we examine if the time dependence is affected by the day of the week; the results indicate that Mondays and Fridays are characterised by higher dependency, consistently with the literature on anomalies in stock market prices.This study was financially supported from the Ministry of Education of Spain (ECO2011-2014 ECON Y FINANZAS, Spain)

US disposable personal income and housing price index: A fractional integration analysis

This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the stochastic properties of the two series are uch that cointegration cannot hold between them, as mean reversion occurs in the case of DPI but not of HPI. Also, recursive analysis shows that the estimated fractional parameter is relatively stable over time for DPI whilst it increases throughout the sample for HPI. Interestingly, the estimates tend to converge toward the unit root case fter 2008 once the bubble had burst. The implications for explaining the recent financial crisis and choosing appropriate policy actions are discussed.The second named-author gratefully acknowledges financial support from the Ministerio de Ciencia y Tecnología (ECO2008-03035 ECON Y FINANZAS, Spain) and from a PIUNA Project from the University of Navarra