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Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004
In this paper we consider different periodic extensions of regression models with autoregressive fractionally integrated moving average disturbances for the analysis of daily spot prices of electricity. We show that day-of-the-week periodicity and long memory are important determinants for the...
Persistent link: https://www.econbiz.de/10005063668
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The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners
Roca, Eduardo D.; Hatemi-J, Abdulnasser - Econometric Society - 2004
, Singapore, Taiwan and Korea, on the other hand, based on Hacker and Hatemi-J (2003) bootstrap causality tests with leveraged …
Persistent link: https://www.econbiz.de/10005063637
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Stock Market Volatility: Examining North America, Europe and Asia
Premaratne, Gamini; Bala, Lakshmi - Econometric Society - 2004
gauge volatility comovement, we employ econometric models of (i) Univariate GARCH (ii) Vector Autoregression and (iii) a … Multivariate and Asymmetric Multivariate GARCH model with GJR extensions. The empirical results indicate that there is a high …
Persistent link: https://www.econbiz.de/10005063749
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The Consequences of Systematic Sampling on Granger Causality
Abeysinghe, Tilak; Rajaguru, Gulasekaran - Econometric Society - 2004
In applied econometric literature, the causal inferences are often made based on highly temporally aggregated or systematically sampled data. A number of theoretical studies have pointed out that temporal aggregation has distorting effects on causal inference and systematic sampling preserves...
Persistent link: https://www.econbiz.de/10005063635
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Fractional Output Convergence, with an Application to Nine Developed Countries
Beyaert, Arielle - Econometric Society - 2004
We argue that cross-country convergence of output per capita should be examined in a fractional-integration time-series context and we propose a new empirical strategy to test it, which is the first one that discriminates between fractional long-run convergence and fractional catching-up. The...
Persistent link: https://www.econbiz.de/10005702532
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Testing Asset Pricing Model with Coskweness
Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004
In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...
Persistent link: https://www.econbiz.de/10005328981
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Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004
We introduce continuous-time models that capture the salient features of the short-term interest rate and remain tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi-factor settings with latent variables that are readily...
Persistent link: https://www.econbiz.de/10005063579
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Modeling Yield-Factor Volatility
Smith, Daniel R.; Parignon, Christophe - Econometric Society - 2004
and curvature in the yield curve. We model the volatility dynamics in these yield factors using both GARCH and level … that the GARCH-based volatility of the short-rate is negatively related to future interest rates and positively related to …'s fit. Interestingly, the level effect is strengthened and the GARCH effects is weakened somewhat. The Bayesian information …
Persistent link: https://www.econbiz.de/10005702565
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Beta Risk and Regime Shift in Market Volatility
Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004
In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...
Persistent link: https://www.econbiz.de/10005130158
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The Impact of the Japanese Banking Crisis on the Intraday FX Market
Hashimoto, Yuko - Econometric Society - 2004
on the foreign exchange market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence …
Persistent link: https://www.econbiz.de/10005342336