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A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility … and functional specifications of the drift and volatility. Morevoer, under the affine term structure restrictions not all …

Persistent link: https://www.econbiz.de/10005100561

Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Dufour, Jean-Marie; Jouini, Tarek - Centre Interuniversitaire de Recherche en Analyse des … - 2005

Statistical tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After documenting that such methods can be very misleading even with fairly large samples, especially when the number...

Persistent link: https://www.econbiz.de/10005100698

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

serial correlation coefficients are proposed: exponential bounds, Eaton-type bounds, Chebyshev bounds and Berry …

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

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

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Persistent link: https://www.econbiz.de/10005100872

Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - Centre Interuniversitaire de Recherche en Analyse des … - 2011

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

Persistent link: https://www.econbiz.de/10008855592

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

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...

Persistent link: https://www.econbiz.de/10005100536

Exact Tests for Contemporaneous Correlation of Disturbances in Seemingly Unrelated Regressions

Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2000

Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We …

Persistent link: https://www.econbiz.de/10005100560

Testing Normality: A GMM Approach

Bontemps, Christian; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

study. Finally, three applications to GARCH and realized volatility models are presented. Dans cet article, nous testons des …

Persistent link: https://www.econbiz.de/10005100582