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Cross Section Vs Time Series Measures of Uncertainty: Using UK Survey Data
Driver, Ciaran; Trapani, Lorenzo - Econometric Society - 2004
three ways: by cross-section dispersion of optimism expectations, by a GARCH series based on the optimism data and by an …
Persistent link: https://www.econbiz.de/10005342212
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Extremal Correlation for GARCH Data
Quintos, Carmela - Econometric Society - 2004
This paper introduces a nonparametric estimator for tail dependence in the constant conditional correlation GARCH … difference between the distribution of the tail dependence estimator under the iid and GARCH case is a scaling variance. Without …
Persistent link: https://www.econbiz.de/10005342216
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A conditional distribution model for limited stock index returns
Sanddorf-Koehle, Walter G.; Friedmann, Ralph - Econometric Society - 2004
When a price limit regime exists for all of the stocks involved in an index, the index return is an aggregate of limited variables and thereby it is restricted to the same limits. We argue that neither a censored nor a truncated distribution model is appropriate for the aggregate return. The...
Persistent link: https://www.econbiz.de/10005342370
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Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications
Yang, Minxian - Econometric Society - 2004
The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...
Persistent link: https://www.econbiz.de/10005063629
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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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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
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Testing for seasonal unit roots in heterogeneous panels
Otero, Jesus; Smith, Jeremy - Econometric Society - 2004
This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...
Persistent link: https://www.econbiz.de/10005129780
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Expected Value Models: A New Approach
Meddahi, Nour - Econometric Society - 2004
observable variables and includes ARMA and GARCH models, while the second one is based on latent variables and includes state … limitation is that it imposes some indirect restrictions that are not desirable. For instance a GARCH model, which captures … between ARMA (or GARCH) and state space (SV) models. We apply our approach in two examples. In the first one, we deal with …
Persistent link: https://www.econbiz.de/10005129810
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Consistent HAC Estimation and Robust Regression Testing Using Sharp Origin Kernels with No Truncation
Jin, Sainan; Phillips, Peter; Sun, Yixiao - Econometric Society - 2004
A new family of kernels is suggested for use in heteroskedasticity and autocorrelation consistent (HAC) and long run variance (LRV) estimation and robust regression testing. The kernels are constructed by taking powers of the Bartlett kernel and are intended to be used with no truncation (or...
Persistent link: https://www.econbiz.de/10005129812
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Seasonality, Cycles and Unit Roots
Salabasis, Mickael; Karlsson, Sune - Econometric Society - 2004
Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the...
Persistent link: https://www.econbiz.de/10005130150