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Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014247836
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Robust multivariate local whittle estimation and spurious fractional cointegration
Becker, Janis; Leschinski, Christian; Sibbertsen, Philipp - 2019
This paper derives a multivariate local Whittle estimator for the memory parameter of a possibly long memory process and the fractional cointegration vector robust to low frequency contaminations. This estimator as many other local Whittle based procedures requires a priori knowledge of the...
Persistent link: https://www.econbiz.de/10012105358
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Efficient Estimation of a Multivariate Multiplicative Volatility Model
Hafner, Christian - 2010
We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …
Persistent link: https://www.econbiz.de/10013148178
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Multivariate Volatility Estimation with High Frequency Data Using Fourier Method
Mancino, Maria Elvira - 2013
Availability of high frequency data has improved the capability of computing volatility in an efficient way …. Nevertheless, measuring volatility/covariance from the observation of the asset price is challenging for two main reasons: observed … multivariate volatility, with particular focus on using high frequency data. Exploiting the fact that the method allows to compute …
Persistent link: https://www.econbiz.de/10013084255
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Multivariate Overnight GARCH-Ito Model with Applications in Large Volatility Matrix Estimation and Prediction
Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2022
This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction … proposed model has two different instantaneous volatility processes for the open-to-close and close-to-open periods, while each … volatility matrices and study its asymptotic properties.A simulation study is conducted to check the finite sample performance of …
Persistent link: https://www.econbiz.de/10013290653
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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical …
Persistent link: https://www.econbiz.de/10012250452
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - In: Econometrics : open access journal 10 (2022) 3, pp. 1-41
We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a...
Persistent link: https://www.econbiz.de/10013459316
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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494
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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011324716
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A Multivariate Test Against Spurious Long Memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011196464