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Testing and Comparing Value-at-Risk Measures

Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

Persistent link: https://www.econbiz.de/10005100810

GARCH for Irregularly Spaced Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997

transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …

Persistent link: https://www.econbiz.de/10005100975

Short Run and Long Run Causality in Time Series: Inference

Dufour, Jean-Marie; Pelletier, Denis; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2003

We propose methods for testing hypothesis of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...

Persistent link: https://www.econbiz.de/10005100843

Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis

Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Centre Interuniversitaire de Recherche en Analyse des … - 2005

In this paper, we use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips Curve (NKPC) equation. We focus on the Gali and Gertler's (1999) specification, on both U.S. and Canadian data. Two variants of the model are studied: one based on a...

Persistent link: https://www.econbiz.de/10005101039

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality

Bouezmarni, Taoufik; Rombouts, Jeroen; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2009

data to test for nonlinear leverage versus volatility feedback effects and to test for causality between stock returns and …

Persistent link: https://www.econbiz.de/10005101068

Exchange rates and commodity prices: measuring causality at multiple horizons

Zhang, Hui Jun; Dufour, Jean-Marie; Galbraith, John - Centre Interuniversitaire de Recherche en Analyse des … - 2013

Understanding and measuring the relative roles of different causal channels between commodity prices and exchange rates has important implications in financial decision making, especially for market participants with short horizons. From a macroeconomic perspective, this can also be useful for...

Persistent link: https://www.econbiz.de/10011183664

Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen - Centre Interuniversitaire de Recherche en Analyse des … - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility …

Persistent link: https://www.econbiz.de/10009395940

An Analysis of the Real Interest Rate Under Regime Shifts

Garcia, René; Perron, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 1995

This study considers the time series behavior of the U.S. real interest rate from 1961 to 1986. We provide a statistical characterization of the series using the methodology of Hamilton (1989), by allowing three possible regimes affecting both the mean and variance of the series. The results...

Persistent link: https://www.econbiz.de/10005838749

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …

Persistent link: https://www.econbiz.de/10008506122

Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?

Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L. - Centre Interuniversitaire de Recherche en Analyse des … - 1995

In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first...

Persistent link: https://www.econbiz.de/10005100511