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Split-panel jackknife estimation of fixed-effect models
DHAENE, Geert; JOCHMANS, Koen - Center for Operations Research and Econometrics (CORE), … - 2010
We propose a jackknife for reducing the order of the bias of maximum likelihood estimates of nonlinear dynamic fixed-effect panel models. In its simplest form, the half-panel jackknife, the estimatorisjust 2θˆ−θ1/2,where θˆ!istheMLEfromthefullpaneland θ1/2 istheaverageofthe two...
Persistent link: https://www.econbiz.de/10008550181
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News announcements, market activity and volatility in the Euro/Dollar foreign exchange market
BAUWENS, Luc; BEN OMRANE, Walid; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2003
/Dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high …-frequency intraday data and within the framework of ARCH-type and realized volatility models, we show that volatility increases in the … volatility as expected by the theoretical literature on order flow. …
Persistent link: https://www.econbiz.de/10005065447
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Locally stationary volatility modelling
VAN BELLEGEM, Sébastien - Center for Operations Research and Econometrics (CORE), … - 2011
question whether the assumption of stationarity is appropriate to model volatility processes. Early econometric studies have … volatility time series. The approaches that are summarized in this discussion paper propose various specification for this time …
Persistent link: https://www.econbiz.de/10010927702
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An almost closed form estimator for the EGARCH model
HAFNER, Christian; LINTON, Oliver - Center for Operations Research and Econometrics (CORE), … - 2013
The EGARCH is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures …
Persistent link: https://www.econbiz.de/10010662673
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The predictive success and profitability of chart patterns in the Euro/Dollar foreign exchange market
BEN OMRANE, Walid; VAN OPPEN, Hervé - Center for Operations Research and Econometrics (CORE), … - 2004
We investigate the existence of chart patterns in the Euro/Dollar intra-daily foreign exchange market. We use two identification methods of the different chart patterns: one built on close prices only, and one based on low and high prices. We look for twelve types of chart patterns and we study...
Persistent link: https://www.econbiz.de/10005008293
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Asymptotic properties of the Bernstein density copula for dependent data
BOUEZMARNI, Taoufik; ROMBOUTS, Jeroen V.K.; TAAMOUTI, … - Center for Operations Research and Econometrics (CORE), … - 2008
Copulas are extensively used for dependence modeling. In many cases the data does not reveal how the dependence can be modeled using a particular parametric copula. Nonparametric copulas do not share this problem since they are entirely data based. This paper proposes nonparametric estimation of...
Persistent link: https://www.econbiz.de/10005043150
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A GARCH (1,1) estimator with (almost) no moment conditions on the error term
PREMINGER, Arie; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2006
A least squares estimation approach for the estimation of a GARCH (1,1) modelis developed. The asymptotic properties of the estimator are studied given mild regularity conditions, which require only that the error term has a conditionalmomen t of some order. We establish the consistency,...
Persistent link: https://www.econbiz.de/10005008182
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Deciding between GARCH and stochastic volatility via strong decision rules
PREMINGER, Arie; HAFNER, Christian M. - Center for Operations Research and Econometrics (CORE), … - 2006
The GARCH and stochastic volatility (SV) models are two competing, well-known and often used models to explain the … volatility of financial series. In this paper, we consider a closed form estimator for a stochastic volatility model and derive …
Persistent link: https://www.econbiz.de/10005008468
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Non redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
BROZE, Laurence; FRANCQ, Christian; ZAKOIAN, Jean-Michel - Center for Operations Research and Econometrics (CORE), … - 2000
This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent (see Kim, Qian and Schmidt (1999)), using high-order moments can provide substantial efficiency gains for estimating the AR(p) model when the noise is only...
Persistent link: https://www.econbiz.de/10005065430
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Non Redundancy of High Order Moment Conditions for Efficient GMM Estimation of Weak AR Process.
Broze, L.; Francq, C.; Zakoian, J.-M. - Center for Operations Research and Econometrics (CORE), … - 2000
This paper considers GMM estimation of autoregressive processes. It is shown that, contrary to the case where the noise is independent, using high-order moments can provide subtantial efficiency gains for estimating the AR model when the noise is only uncorrelated.
Persistent link: https://www.econbiz.de/10005634067