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Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations
Silvennoinen, Annastiina (contributor);  … - 2005 - [Elektronische Ressource], Rev. October 2005
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
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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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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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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
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A combinatorial approach to piecewise linear time series analysis
Medeiros, Marcelo C. (contributor);  … - 2000 - [Elektronische Ressource]
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
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Forecasting with artificial network models
Rech, Gianluigi (contributor) - 2002 - [Elektronische Ressource]
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The statistical approach to artificial neural networks modelling developed by the author is compared to linear modelling and to other three well-known neural network modelling...
Persistent link: https://www.econbiz.de/10001645582
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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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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 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...
Persistent link: https://www.econbiz.de/10001600059
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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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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …
Persistent link: https://www.econbiz.de/10001664233