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Learning the true index level : index return autocorrelation in an REE auction market

Säfvenblad, Patrik - 1997

Persistent link: https://www.econbiz.de/10000971378

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 …. These include high kurtosis and a rather low-starting and slowly decaying autocorrelation function of the squared or …

Persistent link: https://www.econbiz.de/10002199620

A note on the pricing of real estate index linked swaps

Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]

In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...

Persistent link: https://www.econbiz.de/10001645586

Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series : a re-examination

Teräsvirta, Timo (contributor); Dijk, Dick van (contributor) - 2004 - [Elektronische Ressource], Rev. November 9, 2004

In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...

Persistent link: https://www.econbiz.de/10002127012

Determing the number of regimes in a threshold autoregressive model using smooth transition autoregressions

Strikholm, Birgit (contributor); … - 2005 - [Elektronische Ressource], Rev. February 11, 2005

In this paper we propose a method for determining the number of regimes in threshold autoregressive models using smooth transition autoregression as a tool. As the smooth transition model is just an approximation to the threshold autoregressive one, no asymptotic properties are claimed for the...

Persistent link: https://www.econbiz.de/10002535492

Inference for unit roots in a panel smooth transition autoregressive model where the time dimension is fixed

He, Changli (contributor); Sandberg, Rickard (contributor) - 2005 - [Elektronische Ressource], Rev. February 18, 2005

In this paper we derive a unit root test against a Panel Logistic Smooth Transition Autoregressive (PLSTAR). The analysis is concentrated on the case where the time dimension is fixed and the cross section dimension tends to infinity. Under the null hypothesis of a unit root, we show that the...

Persistent link: https://www.econbiz.de/10002577852

Modelling and forecasting economic time series with single hidden-layer feedforward autoregressive artificial neural networks

Rech, Gianluigi - 2001

Persistent link: https://www.econbiz.de/10001628249

A time series model for an exchange rate in a target zone with applications

Lundbergh, Stefan (contributor); … - 2003 - [Elektronische Ressource]

In this paper we introduce a flexible target zone model that is capable of characterizing the dynamic behaviour of an exchange rate implied by the original target zone model of Krugman (1991) and its modifications. Our framework also enables the modeller to estimate an implicit target zone if it...

Persistent link: https://www.econbiz.de/10001786381

Testing the unit root hypothesis against the logistic smooth transition autoregressive model

Eklund, Bruno (contributor) - 2003 - [Elektronische Ressource]

In this paper two simple tests to distinguish between unit root processes and stationary nonlinear processes are proposed. New limit distribution results are provided, together with two F type test statistics for the joint unit root and linearity hypothesis against a specific nonlinear...

Persistent link: https://www.econbiz.de/10001845685

Testing linearity against smooth transition autoregression using a parametric bootstrap

Skalin, Joakim - 1998 - Rev. version

Persistent link: https://www.econbiz.de/10000998500