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Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.; Mykland, Per A. - In: Journal of Econometrics 168 (2012) 2, pp. 396-406
Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...
Persistent link: https://www.econbiz.de/10010574085
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Chapter 13 Forecasting Seasonal Time Series
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006
integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …
Persistent link: https://www.econbiz.de/10014023693
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Controlling the danger of false discoveries in estimating multiple treatment effects
Wunderli, Dan - 2012
I expose the risk of false discoveries in the context of multiple treatment effects. A false discovery is a nonexistent effect that is falsely labeled as statistically significant by its individual t-value. Labeling nonexistent effects as statistically significant has wide-ranging academic and...
Persistent link: https://www.econbiz.de/10009740949
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Nonparametric estimation and inference for conditional density based Granger causality measures
Taamouti, Abderrahim; Bouezmarni, Taoufik; El Ghouch, Anouar - In: Journal of Econometrics 180 (2014) 2, pp. 251-264
We propose a nonparametric estimation and inference for conditional density based Granger causality measures that quantify linear and nonlinear Granger causalities. We first show how to write the causality measures in terms of copula densities. Thereafter, we suggest consistent estimators for...
Persistent link: https://www.econbiz.de/10010776917
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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...
Persistent link: https://www.econbiz.de/10010411858
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Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46
This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...
Persistent link: https://www.econbiz.de/10010939493
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Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Ait-Sahalia, Yacine; Jacod, Jean - National Bureau of Economic Research (NBER) - 2010
This paper describes a simple yet powerful methodology to decompose asset returns sampled at high frequency into their base components (continuous, small jumps, large jumps), determine the relative magnitude of the components, and analyze the finer characteristics of these components such as the...
Persistent link: https://www.econbiz.de/10008597185
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Testing whether the underlying continuous-time process follows a diffusion: An infinitesimal operator-based approach
Chen, Bin; Song, Zhaogang - In: Journal of Econometrics 173 (2013) 1, pp. 83-107
We develop a nonparametric test to check whether a process can be represented by a stochastic differential equation driven only by a Brownian motion. Our testing procedure utilizes the infinitesimal operator-based martingale characterization combined with a generalized spectral approach. Such a...
Persistent link: https://www.econbiz.de/10010608470
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Testing conditional independence via empirical likelihood
Su, Liangjun; White, Halbert - In: Journal of Econometrics 182 (2014) 1, pp. 27-44
We construct two classes of smoothed empirical likelihood ratio tests for the conditional independence hypothesis by writing the null hypothesis as an infinite collection of conditional moment restrictions indexed by a nuisance parameter. One class is based on the CDF; another is based on smoother...
Persistent link: https://www.econbiz.de/10010785278
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Rank tests for short memory stationarity
Pelagatti, Matteo M.; Sen, Pranab K. - In: Journal of Econometrics 172 (2013) 1, pp. 90-105
We propose a rank-test of the null hypothesis of short memory stationarity possibly after linear detrending.
Persistent link: https://www.econbiz.de/10010594957