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Spectral Implications of Security Market Data for Models of Dynamic Economies

Christopher Otrok, B. Ravikumar, Charles H. Whiteman - Society for Computational Economics - SCE - 2001

that the spectrum of the model IMRS must exceed the spectrum of our bounding IMRS. Using the serial correlation properties … of their bound that (i) incorporates the serial correlation properties of return data and (ii) allows us to calculate a … only uses the unconditional first and second moment properties of return data but also the serial correlation properties …

Persistent link: https://www.econbiz.de/10005537761

unilateral and bilateral bootstrap tests for long memory

Peretti, Christian de - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005132819

A re-evaluation of empirical tests of the Fisher hypothesis

Bekdache, Basma; Baum, Christopher F. - Society for Computational Economics - SCE - 1999

This paper shows that the recent literature that tests for a long-run Fisher relationship using cointegration analysis is seriously flawed. Cointegration analysis assumes that the variables in question are I(1) or I(d) with the same d. Using monthly post-war U.S. data from 1959-1997, we show...

Persistent link: https://www.econbiz.de/10005132854

G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent; Peters, Jean-Philippe - Society for Computational Economics - SCE - 2001

This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification...

Persistent link: https://www.econbiz.de/10005132877

Inference on the Cointegration Rank in Fractionally Integrated Processes

Breitung, Joerg; Hassler, Uwe - Society for Computational Economics - SCE - 2001

For univariate time series we suggest a new variant of efficient score tests against fractional alternatives. This test has three important merits. First, by means of simulations we observe that it is superior in terms of size and power in some situations of practical interest. Second, it is...

Persistent link: https://www.econbiz.de/10005132878

Long Memory Models and Tests for Cointegration: A Synthesizing Study

Smallwood, Aaron D; Norrbin, Stefan C - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005132925

Long Memory, Heterogeneity, and Trend Chasing

Li, Youwei; He, Xue-Zhong - Society for Computational Economics - SCE - 2005

Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...

Persistent link: https://www.econbiz.de/10005343031

The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Smallwood, Aaron; Maynard, Alex; Wohar, Mark - Society for Computational Economics - SCE - 2005

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

Persistent link: https://www.econbiz.de/10005343050

Estimation of the fractionally integrated process with Missing Values: Simulation and Application

Valderio A. Reisen, UFES, Brazil.; Luna, Carlos Feitosa; … - Society for Computational Economics - SCE - 2004

Time series with long-memory behavior have recently received much attention. Much interest attaches to parameter estimation in the ARFIMA model by considering different situations of this process, and specifically when there are missing observations. This is the focus of this paper. To estimate...

Persistent link: https://www.econbiz.de/10005345246

Is There More to Long Memory in Fixed-Income Excess Returns and Volatility than Structural Instability?

Connolly, Robert A.; Nuray G½ner; Hightower, Kenneth N. - Society for Computational Economics - SCE - 2001

Unlike equity returns, many fixed-income return and volatility measures appear to display considerable long memory. Connolly and G½ner (working paper, 1999) show this holds particularly strongly for shorter-maturity Treasury securities in the U.S. They show that fixed-income return and...

Persistent link: https://www.econbiz.de/10005345608