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Prognoses for a Non-Predictable Discounted Commodity Price Process

Wright, Brian D.; Bobenrieth; Eugenio S. A. - Econometric Society - 2004

We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...

Persistent link: https://www.econbiz.de/10005699619

Finite Sample and Optimal Inference in Possibly Nonstationary ARCH Models with Gaussian and Heavy-Tailed Errors

Iglesias, Emma; Dufour, Jean Marie - Econometric Society - 2004

Most of the literature on testing ARCH models focuses on the null hypothesis of no-ARCH effects. In this paper, we … consider the general problem of testing any possible set of coefficient values in ARCH models, which may be non …-type and point-optimal tests are studied. Special problems considered include the hypothesis of no-ARCH effects and IARCH …

Persistent link: https://www.econbiz.de/10005342251

A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns

Saikkonen, Pentti; Lanne, Markku - Econometric Society - 2004

In this paper we consider a GARCH-in-Mean (GARCH-M) model based on the so-called z distribution. This distribution is capable of modeling moderate skewness and kurtosis typically encountered in financial return series, and the need to allow for skewness can be readily tested. We apply the new...

Persistent link: https://www.econbiz.de/10005342207

Estimation of Credit and Default Spreads: An Application to CDO Valuation

Noh, Jaesun - Econometric Society - 2004

Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...

Persistent link: https://www.econbiz.de/10005342295

Microstructure noise, realized volatility, and optimal sampling

Russell, Jeffrey R.; Bandi, Federico M. - Econometric Society - 2004

Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...

Persistent link: https://www.econbiz.de/10005129773

Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

series application, the ARCH-M effect and leverage effect are separately estimated and both appear to be supported by the …

Persistent link: https://www.econbiz.de/10005063629

Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)

Ait-Sahalia, Yacine - Econometric Society - 2004

This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the...

Persistent link: https://www.econbiz.de/10005699685

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Persistent link: https://www.econbiz.de/10005702555

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Persistent link: https://www.econbiz.de/10005702617

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