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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
, noncontinuous distributions, and very general serial dependence (linear or nonlinear) including GARCH-type and stochastic volatility …
Persistent link: https://www.econbiz.de/10008855591
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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
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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
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Seasonal Time Series and Autocorrelation Function Estimation
Bell, William R.; Ghysels, Eric; Lee, Hahn Shik - Centre Interuniversitaire de Recherche en Analyse des … - 1997
Time series are demeaned when sample autocorrelation functions are computed. By the same logic it would seem appealing to remove seasonal means from seasonal time series before computing sample autocorrelation functions. Yet, standard practice is only to remove the overall mean and ignore the...
Persistent link: https://www.econbiz.de/10005100761
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On Stable Factor Structures in the Pricing of Risk
Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1995
Much of the research describing the cross-sectional and time series behavior of asset returns can be characterized as a search for the relevant state variables and also a search for the relevant model specification. Ultimately the scope of such efforts is to find a satisfactory and stable asset...
Persistent link: https://www.econbiz.de/10005100814
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Seasonal Nonstationarity and Near-Nonstationarity
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M. - Centre Interuniversitaire de Recherche en Analyse des … - 1999
This paper presents a detailed discussion of the characteristics of seasonal integrated and near integrated processes, as well as the asymptotic properties of seasonal unit root tests. More specifically, the characteristics of a seasonal random walk and a more general seasonal integrated ARMA...
Persistent link: https://www.econbiz.de/10005100904
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Market Time and Asset Price Movements Theory and Estimation
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1995
Subordinated stochastic processes, also called time deformed stochastic processes, have been proposed in a variety of contexts to describe asset price behavior. They are used when the movement of prices is tied to the number of market transactions, trading volume or the more illusive concept of...
Persistent link: https://www.econbiz.de/10005101080
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Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1995
In this paper, we study stochastic volatility models with time deformation. Such processes relate to early work by … stochastic volatility evolves in a operational time which differs from calendar time. The time deformation can be determined by … of information arrival. The econometric specification exploits the state-space approach for stochastic volatility models …
Persistent link: https://www.econbiz.de/10005101089
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A Semi-Parametric Factor Model for Interest Rates
Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1996
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...
Persistent link: https://www.econbiz.de/10005100562
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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