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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Finance Discipline Group, Business School - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10004980459
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Semiparametric Diffusion Estimation and Application to a Stock Market Model
Hardle, Wolfgang; Kleinow, Torsten; Korostelev, Alexander; … - Finance Discipline Group, Business School - 2001
The analysis of diffusion process in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10004984483
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A Score Test for Discreteness in GARCH Models
Amilon, Henrik - Finance Discipline Group, Business School - 2002
The standard continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. We propose a modiÞcation of the above model for handling such cases, by modeling the dependent variable as an unobservable stochastic variable with certain observed outcomes....
Persistent link: https://www.econbiz.de/10005073658
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Testing for Time Dependence in Parameters
Becker, Ralf; Enders, Walter; Hurn, A. Stan - Finance Discipline Group, Business School - 2001
This paper proposes a new test based on a Fourier series expansion to approximate the unknown functional form of a nonlinear time-series model. The test specifically allows for structural breaks, seasonal parameters and time-varying parameters. The test is shown to have evry good size and power...
Persistent link: https://www.econbiz.de/10005112867
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Volatility Forecast Comparison using Imperfect Volatility Proxies
Patton, Andrew - Finance Discipline Group, Business School - 2006
The use of a conditionally unbiased, but imperfect, volatility proxy can lead to undesirable outcomes in standard … loss function for the ranking of competing volatility forecasts to be robust to the presence of noise in the volatility … analytical results on the distortions caused by some widely-used loss functions, when used with standard volatility proxies such …
Persistent link: https://www.econbiz.de/10005102339
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Estimating Behavioural Heterogeneity Under Regime Switching
Chiarella, Carl; He, Xue-Zhong; Huang, Weihong; Zheng, … - Finance Discipline Group, Business School - 2011
Financial markets are typically characterized by high (low) price level and low (high) volatility during boom (bust …) periods, suggesting that price and volatility tend to move together with different market conditions/states. By proposing a …
Persistent link: https://www.econbiz.de/10009018967
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Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae
Ignatieva, Katja; Platen, Eckhard - Finance Discipline Group, Business School - 2009
This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...
Persistent link: https://www.econbiz.de/10008492108
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Continuous Time Model Estimation
Chiarella, Carl; Gao, Shenhuai - Finance Discipline Group, Business School - 2004
This paper introduces an easy to follow method for continuous time model estimation. It serves as an introduction on how to convert a state space model from continuous time to discrete time, how to decompose a hybrid stochastic model into a trend model plus a noise model, how to estimate the...
Persistent link: https://www.econbiz.de/10004970481
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Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
Amilon, Henrik - Finance Discipline Group, Business School - 2003
simulated returns are found to exhibit various stylized facts, such as volatility clustering and fat tails. Here, we estimate a …
Persistent link: https://www.econbiz.de/10005102336
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Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models
Röthig, Andreas; Chiarella, Carl - Finance Discipline Group, Business School - 2006
This article explores nonlinearities in the response of speculators’ trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10004984572