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Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null … hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged … squared innovations and volatility of its own. The alternative hypothesis is an extension of that model in which volatility is …
Persistent link: https://www.econbiz.de/10005423784
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Maximum-likelihood based inference in the two-way random effects model with serially correlated time effects
Karlsson, Sune; Skoglund, Jimmy - Economics Institute for Research (SIR), … - 2000
This paper considers maximum likelihood estimation and inference in the two-way random effects model with serial …
Persistent link: https://www.econbiz.de/10005423854
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A smooth permanent surge process
González Gómez, Andrés - Economics Institute for Research (SIR), … - 2004
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10005423858
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Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structure
Amado, Cristina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2008
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...
Persistent link: https://www.econbiz.de/10005423887
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A general framework for testing the Granger noncausality hypothesis
Péguin-Feissolle, Anne; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1999
In this paper, new noncausality tests relying on a general nonlinear framework are proposed and their performance studied by a Monte Carlo experiment and a variety of nonlinear artificial series. Two of the tests are based on a Taylor expansion of the nonlinear model around a given point in the...
Persistent link: https://www.econbiz.de/10005207201
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Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...
Persistent link: https://www.econbiz.de/10005056490
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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10005649338
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A Smooth Transition ARCH Model for Asset Returns
Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997
specification reduces the number of parameters in the model, which proves to be important for successful estimation. The paper also …
Persistent link: https://www.econbiz.de/10005649476
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Building neural network models for time series: A statistical approach
Medeiros, Marcelo C.; Teräsvirta, Timo; Rech, Gianluigi - Economics Institute for Research (SIR), … - 2002
aim of avoiding the estimation of unidentified models. Misspecification tests are derived for evaluating an estimated …
Persistent link: https://www.econbiz.de/10005649189
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Towards a General Theory of Good Deal Bounds
Björk, Tomas; Slinko, Irina - Economics Institute for Research (SIR), … - 2004
We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process. Within this framework we study arbitrage free good deal pricing bounds...
Persistent link: https://www.econbiz.de/10005771162