Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Aarhus University Economics Paper No. 2005-03

32 Pages Posted: 18 Jun 2008

See all articles by Niels Haldrup

Niels Haldrup

Aarhus University, School of Economics and Management; CREATES

Svend Hylleberg

Aarhus University - Department of Economics

Gabriel Pons

Aarhus University - Department of Economics

Jaume Rossello

Departament d'Economia Aplicada; Griffith Institute for Tourism

Andreu Sansó

University of the Balearic Islands

Date Written: March 23, 2005

Abstract

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and common feature properties of the variables in order to obtain a more parsimonious model representation. We introduce the notion of common periodic correlations, which are common features that co-vary - possibly with a phase shift - across the different days of the week and possibly also across weeks. The paper also suggests a way of modelling the dynamic interaction of stock and flow variables within a periodic setting that is similar to the concept of multicointegration among integrated variables. The proposed modelling framework is applied to a data set of daily arrivals and departures in the airport of Mallorca.

Keywords: Periodic autoregression, seasonality, high frequency data, cointegration, multicointegration, common features

JEL Classification: C12, C22, C32

Suggested Citation

Haldrup, Niels and Hylleberg, Svend and Pons, Gabriel and Rossello, Jaume and Sansó, Andreu, Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data (March 23, 2005). Aarhus University Economics Paper No. 2005-03. Available at SSRN: https://ssrn.com/abstract=1147596 or http://dx.doi.org/10.2139/ssrn.1147596

Niels Haldrup (Contact Author)

Aarhus University, School of Economics and Management ( email )

Universitetsparken
Aarhus, DK 8000 C
Denmark
+45 8942 1133 (Phone)
+45-8613-6334 (Fax)

CREATES ( email )

School of Economics and Management
Aarhus University
Aarhus, DK 8000 C
Denmark
+4589421613 (Phone)

HOME PAGE: http://www.creates.au.dk/en

Svend Hylleberg

Aarhus University - Department of Economics ( email )

University Park
DK-8000 Aarhus C
Denmark
+45 8942 1133 (Phone)
+45 8613 6334 (Fax)

Gabriel Pons

Aarhus University - Department of Economics ( email )

University Park
DK-8000 Aarhus C
Denmark
+45 8942 1604 (Phone)

HOME PAGE: http://www.econ.au.dk/afn/default.htm

Jaume Rossello

Departament d'Economia Aplicada ( email )

Crta. de Valldemossa km 7,5
07122 Palma
Spain

HOME PAGE: http://https://www.uib.es/es/personal/ABTEzMjI4/

Griffith Institute for Tourism ( email )

170 Kessels Road
Nathan, Queensland QLD 4111
Australia

Andreu Sansó

University of the Balearic Islands ( email )

Crtra. Valldemossa, km 7.5
Ed. Jovellanos
Palma de Mallorca, Illles Balears 07122
Spain

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