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A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - School of Economics and Management, University of Aarhus - 2013
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...
Persistent link: https://www.econbiz.de/10010851190
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2012
stock return data, which includes both features and allows the co-existence of long memory in volatility and short memory in … returns. We extend this model to allow the financial parameters governing the volatility-in-mean effect and the leverage …
Persistent link: https://www.econbiz.de/10010851216
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Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007
in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …-M) effect in the return equation. The filtering of the volatility-in-mean component thus allows the co-existence of long memory …
Persistent link: https://www.econbiz.de/10005034729
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Estimating Dynamic Equilibrium Models using Macro and Financial Data
Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - School of Economics and Management, University of Aarhus - 2011
We show that including financial market data at daily frequency, along with macro series at standard lower frequency, facilitates statistical inference on structural parameters in dynamic equilibrium models. Our continuous-time formulation conveniently accounts for the difference in observation...
Persistent link: https://www.econbiz.de/10009148812
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The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
Busch, Thomas; Christensen, Bent Jesper; Nielsen, … - School of Economics and Management, University of Aarhus - 2007
We study the forecasting of future realized volatility in the foreign exchange, stock, and bond markets from variables … in the information set, including implied volatility backed out from option prices. Realized volatility is separated into … its continuous and jump components, and the heterogeneous autoregressive (HAR) model is applied with implied volatility as …
Persistent link: https://www.econbiz.de/10005004428
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Optimal inference in dynamic models with conditional moment restrictions
Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008
general history dependence. Examples involving time-varying conditional volatility and stochastic volatility are offered. …
Persistent link: https://www.econbiz.de/10005114126
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Semiparametric Inference in a GARCH-in-Mean Model
Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - School of Economics and Management, University of Aarhus - 2008
a GARCH process for the underlying volatility is introduced. The estimator does not rely on any initial parametric …
Persistent link: https://www.econbiz.de/10005114137
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Level Shifts in Volatility and the Implied-Realized Volatility Relation
Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010
We propose a simple model in which realized stock market return volatility and implied volatility backed out of option … properties of strong persistence in volatility and forecastability of future realized volatility from current implied volatility …, which have been interpreted as long memory (or fractional integration) in volatility and fractional cointegration between …
Persistent link: https://www.econbiz.de/10008549066
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Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
Christensen, Bent Jesper; Nielsen, Morten Ø. - School of Economics and Management, University of Aarhus
motivating example is the relation between the volatility realized in the stock market and the associated implicit volatility …
Persistent link: https://www.econbiz.de/10005114057
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The Effect of Long Memory in Volatility on Stock Market Fluctuations
Christensen, Bent Jesper; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2007
volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for … long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross- equation …. We show that the impact of volatility shocks on stock prices is small and short-lived, in spite of a positive risk …
Persistent link: https://www.econbiz.de/10005198855