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This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. -- GARCH ; GARCH …
Persistent link: https://www.econbiz.de/10001600059
The constant conditional correlation GARCH model is probably the most frequently applied multivariate GARCH model. In … first and the second-order constant conditional correlation GARCH model. The usefulness of the theoretical results of the … correlation GARCH model. -- Autoregressive conditional heteroskedasticity ; moment structure of GARCH ; multivariate conditional …
Persistent link: https://www.econbiz.de/10001693116
Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …
Persistent link: https://www.econbiz.de/10002199620
testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated … ; GARCH …
Persistent link: https://www.econbiz.de/10002199638
In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...
Persistent link: https://www.econbiz.de/10002679532
This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are...
Persistent link: https://www.econbiz.de/10001959574
autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional duration (ACD) models with possibly complicated …
Persistent link: https://www.econbiz.de/10002465203
Over recent years, several nonlinear time series models have been proposed in the literature. One model that has found a large number of successful applications is the threshold autoregressive model (TAR). The TAR model is a piecewise linear process whose central idea is to change the parameters...
Persistent link: https://www.econbiz.de/10001599987
In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...
Persistent link: https://www.econbiz.de/10001600044
Changes in the seasonal patterns of macroeconomic time series may be due to the effects of business cycle fluctuations or to technological and institutional change or both. We examine the relative importance of these two sources of change in seasonality for quarterly industrial production series...
Persistent link: https://www.econbiz.de/10001600051