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Short and Long Memory in Equilibrium Interest Rate Dynamics

Duan, Jin-Chuan; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

processes also display heteroskedasticity patterns that are more general than those of existing equilibrium models. We find that … the presence of long memory. We also find that the data support heteroskedasticity patterns that are different from the …

Persistent link: https://www.econbiz.de/10005100611

Quadratic M-Estimators for ARCH-Type Processes

Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 1998

This paper addresses the issue on estimating semiparametric time series models specified by their conditional mean and conditional variance. We stress the importance of using joint restrictions on the mean and variance. This leads to take into account the covariance between the mean and the...

Persistent link: https://www.econbiz.de/10005100653

Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005

We consider the problem of testing whether the observations X1, · · ·, Xn of a time series are independent with unspecified (possibly nonidentical) distributions symmetric about a common known median. Various bounds on the distributions of serial correlation coefficients are proposed:...

Persistent link: https://www.econbiz.de/10005100838

Identification, Weak Instruments and Statistical Inference in Econometrics

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2003

distributional assumptions; (2) inference under heteroskedasticity of unknown form; (3) inference in dynamic models with an unlimited …

Persistent link: https://www.econbiz.de/10005100952

GARCH for Irregularly Spaced Data: The ACD-GARCH Model

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

We develop a class of ARCH models for series sampled at unequal time intervals set by trade or quote arrivals. Our approach combines insights from the temporal aggregation for GARCH models discussed by Drost and Nijman (1993) and Drost and Werker (1994), and the autoregressive conditional...

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

Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Bernard, Jean-Thomas; Dufour, Jean-Marie; Genest, Ian; … - Centre Interuniversitaire de Recherche en Analyse des … - 2001

A wide range of tests for heteroskedasticity have been proposed in the econometric and statistics literatures. Although … that seek to improve the reliability of common heteroskedasticity tests using Edgeworth, Bartlett, jackknife and bootstrap … conditional heteroskedasticity (ARCH-type models). We also suggest several extensions of the existing procedures (sup-type or …

Persistent link: https://www.econbiz.de/10005101027

Logiques et tests d'hypothèses : réflexions sur les problèmes mal posés en économétrie

Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2001

heteroskedasticity, non-normality or dynamic specification. We point out that these difficulties often originate from the ambition to …

Persistent link: https://www.econbiz.de/10005101036

Robust Sign-Based and Hodges-Lehmann Estimators in Linear Median Regressions with Heterogenous Serially Dependent Errors

Coudin, Elise; Dufour, Jean-Marie - Centre Interuniversitaire de Recherche en Analyse des … - 2011

distribution including no condition on the existence of moments allowing for heterogeneity (or heteroskedasticity) of unknown form … condition on error moment existence, allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous … (non-normality) and heteroskedasticity. …

Persistent link: https://www.econbiz.de/10008855591