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Long-run and Cyclical Dynamics in the US Stock Market
Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004
-free rate, real stock returns, equity premium and price/dividend ratio, annually from 1871 to 1993. When focusing exclusively on …
Persistent link: https://www.econbiz.de/10005063571
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Expected Value Models: A New Approach
Meddahi, Nour - Econometric Society - 2004
space and stochastic volatility (or SV) models. The first approach is appealing because it allows to compute conditional … expectations (e.g., for forecasting purpose) and to use the Quasi Maximum Likelihood (QML) type of estimation. However, its main … volatility dynamics, imposes that some marginal moments are not bounded, which is a clear limitation of the model. In contrast …
Persistent link: https://www.econbiz.de/10005129810
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Bootstrapping the HEGY Seasonal Unit Root Tests
Taylor, Robert; Burridge, Peter - Econometric Society - 2004
This paper proposes bootstrap versions of the seasonal unit root tests of, inter alia, Hylleberg, Engle, Granger and Yoo (1990,Journal of Econometrics 55, 305-328)[HEGY]. We report a simulation study of the properties of both the conventional and bootstrapped seasonal unit root tests when...
Persistent link: https://www.econbiz.de/10005130173
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Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory.
Banerjee, Anurag - Econometric Society - 2004
Recently there have been much discussion of the theory and applications of long memory processes. In this paper we consider the standard linear model y=X*b+u and assume that the variance covariance matrix of the errors being generated from an ARFIMA(0,d,0) model. Following Banerjee and Magnus...
Persistent link: https://www.econbiz.de/10005342176
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Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005342193
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Forecasting Value-at-Risk Using the Markov-Switching ARCH Model
Tang, Wei-Ting; Gau, Yin-Feng - Econometric Society - 2004
parametric and nonparametric VaR models that only consider time-varying volatility. JEL classification: C22, C52, G28. Keywords …
Persistent link: https://www.econbiz.de/10005342286
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A conditional distribution model for limited stock index returns
Sanddorf-Koehle, Walter G.; Friedmann, Ralph - Econometric Society - 2004
mean and volatility, and with increasing volatility it changes from leptokurtic to platykurtic densities. The model is …
Persistent link: https://www.econbiz.de/10005342370
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Properties of Optimal Forecasts
Timmermann, Allan; Patton, Andrew J. - Econometric Society - 2004
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...
Persistent link: https://www.econbiz.de/10005328966
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Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004
optimality and that its asymptotic distribution is not affected by the parameter estimation uncertainty, provided that the …
Persistent link: https://www.econbiz.de/10005329017
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Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004
In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction … case of non-vanishing parameter estimation error. The second is an out of sample version of the integrated conditional …
Persistent link: https://www.econbiz.de/10005063601