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Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10009627286

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the hurst coefficient

Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 1999

the price of a commodity, currency or similar quantity. Interval estimation and hypothesis testing for H are central to …

Persistent link: https://www.econbiz.de/10009581110

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental … an analysis of the comovement between Germany, Austria and the United Kingdom is presented. -- common feature analysis …

Persistent link: https://www.econbiz.de/10009612024

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

related to relatively infrequent changes in regime. U sing the theory of Markov chains we provide sufficient conditions for …

Persistent link: https://www.econbiz.de/10009621424

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

On model based seasonal adjustment procedures

Breitung, Jörg - 1998

In this note the unobserved component approach underlying the software package SEATS is compared with the Beveridge-Nelson type of decomposition for seasonal time series. The main strength of the SEATS approach lies in the appealing model formulation and the careful specification and adjustment...

Persistent link: https://www.econbiz.de/10009574877

Statistical inference for time-inhomogeneous volatility models

Mercurio, Danilo; Spokojnyj, Vladimir G. - 2002

This paper offers a new approach for estimation and forecasting of the volatility of financial time series. No …. -- stochastic volatility model ; adaptive estimation ; local homogeneity …

Persistent link: https://www.econbiz.de/10009626679

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

, and the Deutschmark-US dollar. The estimation results for both models show: (i) that the unrestricted model outperforms …

Persistent link: https://www.econbiz.de/10009579181

Cai, Zongwu (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919034

Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

a comparable data set for Germany for the time period 1968-1990. We analyze this data set in order to identify a "best …/French for US stock returns is almost the best one in Germany. The book-to-market-ratio turns out to be the variable with highest …

Persistent link: https://www.econbiz.de/10009661022

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