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Stylized facts of financial time series and three popular models of volatility
Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … 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
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Univariate nonlinear time series models
Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]
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
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the …
Persistent link: https://www.econbiz.de/10001600059
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Testing parameter constancy in unit root autoregressive models against continuous change
He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 8, 2005
In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new...
Persistent link: https://www.econbiz.de/10002570513
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A new non-linear GARCH model
Hagerud, Gustaf E. - 1997
Persistent link: https://www.econbiz.de/10000958392
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Stylized facts of daily return series and the hidden Markov model
Rydén, Tobias; Teräsvirta, Timo; Åsbrink, Stefan E. - 1996
Persistent link: https://www.econbiz.de/10000947704
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Evaluating exponential GARCH models
Malmsten, Hans (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004
tests are also investigated by simulations. -- evalation of volatility models ; modelling volatility ; parameter constancy …
Persistent link: https://www.econbiz.de/10002199638
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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models
Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2004 - [Elektronische Ressource], First version October 2004, revised December 2005 and April 2007
This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of...
Persistent link: https://www.econbiz.de/10002465203
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An extended constant conditional correlation GARCH model and its fourth-moment-structure
He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]
heteroskedasticity ; volatility dynamics …
Persistent link: https://www.econbiz.de/10001693116
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Evaluating models of autoregressive conditional duration
Meitz, Mika (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], First version March 2004, revised December 2004
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