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On the identification of fractionally cointegrated VAR models with the F(d) condition

Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014

rank is known. The properties of these multiple non-identified models are studied and a necessary and sufficient condition … for the identification of the fractional parameters of the system is provided. The condition is named F(d) and it is a … generalization to the fractional case of the I(1) condition in the VECM model. The assessment of the F(d) condition in the empirical …

Persistent link: https://www.econbiz.de/10011019688

The Properties of Model Selection when Retaining Theory Variables

Hendry, David F.; Johansen, Søren - School of Economics and Management, University of Aarhus - 2011

the estimator distribution of the theory parameters. This strategy returns the theory-parameter estimates when the theory …

Persistent link: https://www.econbiz.de/10009359474

Edgeworth expansion for functionals of continuous diffusion processes

Podolskij, Mark; Yoshida, Nakahiro - School of Economics and Management, University of Aarhus - 2013

This paper presents new results on the Edgeworth expansion for high frequency functionals of continuous diffusion processes. We derive asymptotic expansions for weighted functionals of the Brownian motion and apply them to provide the Edgeworth expansion for power variation of diffusion...

Persistent link: https://www.econbiz.de/10010851189

Exponential GARCH Modeling with Realized Measures of Volatility

Hansen, Peter Reinhard; Huang, Zhuo - School of Economics and Management, University of Aarhus - 2012

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the modeling of a return series. The model specifies the dynamic properties of both returns and realized measures, and is characterized by a flexible modeling of the dependence between...

Persistent link: https://www.econbiz.de/10010851191

Functional limit theorems for generalized variations of the fractional Brownian sheet

Pakkanen, Mikko S.; Réveillac, Anthony - School of Economics and Management, University of Aarhus - 2014

We prove functional central and non-central limit theorems for generalized variations of the anisotropic d-parameter fractional Brownian sheet (fBs) for any natural number d. Whether the central or the non-central limit theorem applies depends on the Hermite rank of the variation functional and...

Persistent link: https://www.econbiz.de/10010851193

Assessing Relative Volatility/Intermittency/Energy Dissipation

Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; … - School of Economics and Management, University of Aarhus - 2013

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are generated by a non-semimartingale, or a Brownian...

Persistent link: https://www.econbiz.de/10010851213

Goodness-of-fit testing for fractional diffusions

Podolskij, Mark; Wasmuth, Katrin - School of Economics and Management, University of Aarhus - 2012

whether the unknown volatility function lies in a given linear functional space or not. This testing problem is highly non …

Persistent link: https://www.econbiz.de/10010851227

A test for the rank of the volatility process: the random perturbation approach

Jacod, Jean; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2012

In this paper we present a test for the maximal rank of the matrix-valued volatility process in the continuous Itô semimartingale framework. Our idea is based upon a random perturbation of the original high frequency observations of an Itô semimartingale, which opens the way for rank testing....

Persistent link: https://www.econbiz.de/10010851228

Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity

Boudt, Kris; Laurent, Sébastien; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2014

An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It … estimate the different parameters sequentially with as many observations as possible. The estimator is guaranteed positive … proposed high-frequency estimator provide statistically and economically superior forecasts to models using daily returns. …

Persistent link: https://www.econbiz.de/10010851233

Limit theorems for power variations of ambit fields driven by white noise

Pakkanen, Mikko S. - School of Economics and Management, University of Aarhus - 2013

We study the asymptotic behavior of lattice power variations of two-parameter ambit fields that are driven by white noise. Our first result is a law of large numbers for such power variations. Under a constraint on the memory of the ambit field, normalized power variations are shown to converge...

Persistent link: https://www.econbiz.de/10010851245