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A wavelet-Fisz approach to spectrum estimation

Fryzlewicz, Piotr; Nason, Guy P.; von Sachs, Rainer - London School of Economics (LSE) - 2008

known that choosing appropriate thresholds to smooth the periodogram is difficult because non-parametric spectral estimation …-transformation of the periodogram. In this paper we propose an alternative method to address the problem of heteroscedasticity and non …-normality. We estimate thresholds for the empirical wavelet coefficients of the (tapered) periodogram as appropriate linear …

Persistent link: https://www.econbiz.de/10010746418

A quantilogram approach to evaluating directional predictability

Linton, Oliver; Whang, Yoon-Jae - London School of Economics (LSE) - 2003

-range quantiles like 5%-10%. …

Persistent link: https://www.econbiz.de/10010928727

Nonparametric test for causality with long-range dependence

Hidalgo, Javier - London School of Economics (LSE) - 2000

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T-½. Since the test...

Persistent link: https://www.econbiz.de/10011071140

Decomposition of bivariate inequality indices by attributes

Abul Naga, Ramses H.; Geoffard, Pierre-Yves - London School of Economics (LSE) - 2006

We provide, for the class of relative bidimensional inequality indices, a decomposition of inequality into two univariate Atkinson-Kolm-Sen indices and a third statistic which depends on the joint distribution of resources.

Persistent link: https://www.econbiz.de/10010928684

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Persistent link: https://www.econbiz.de/10010746302

On the out-of-sample importance of skewness and asymetric dependence for asset allocation

Patton, Andrew J. - London School of Economics (LSE) - 2002

Recent studies in the empirical finance literature have reported evidence of two types of asymmetries in the joint distribution of stock returns. The Þrst is skewness in the distribution of individual stock returns, while the second is an asymmetry in the dependence between stocks: stock...

Persistent link: https://www.econbiz.de/10011071238

More efficient kernel estimation in nonparametric regression with autocorrelated errors

Carroll, Raymond J; Linton, Oliver; Mammen, Enno; Xiao, … - London School of Economics (LSE) - 2002

We propose a modification of kernel time series regression estimators that improves efficiency when the innovation process is autocorrelated. The procedure is based on a pre-whitening transformation of the dependent variable that has to be estimated from the data. We establish the asymptotic...

Persistent link: https://www.econbiz.de/10010928799

Nonparametric transfer function models

Liu, Jun M.; Chen, Rong; Yao, Qiwei - London School of Economics (LSE) - 2010

In this paper a class of nonparametric transfer function models is proposed to model nonlinear relationships between 'input' and 'output' time series. The transfer function is smooth with unknown functional forms, and the noise is assumed to be a stationary autoregressive-moving average (ARMA)...

Persistent link: https://www.econbiz.de/10010746432

Modelling multivariate volatilities via conditionally uncorrelated components

Fan, Jianqing; Wang, Mingjin; Yao, Qiwei - London School of Economics (LSE) - 2008

We propose to model multivariate volatility processes on the basis of the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation for matrix-valued processes. It is flexible in the sense that each CUC may be fitted separately with any...

Persistent link: https://www.econbiz.de/10011125942

Least absolute deviations estimation for ARCH and GARCH models

Peng, Liang; Yao, Qiwei - London School of Economics (LSE) - 2003

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with heavy‐tailed errors, the conventional maximum quasilikelihood estimator suffers from complex limit distributions and slow...

Persistent link: https://www.econbiz.de/10011126223