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Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

bootstrap resampling technique. The method is illustrated on S&P 500 index data. -- Identification, Bootstrap, Diffusion …

Persistent link: https://www.econbiz.de/10009613611

Testing of fractional cointegration in macroeconomic time series

Gil-Alaña, Luis A. - 2000

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is based on Robinson’s (1994) univariate tests and is similar in spirit to the one proposed by Engle and Granger (1987), testing initially the order of integration of the...

Persistent link: https://www.econbiz.de/10009612018

Deterministic seasonality versus seasonal fractional integration

Gil-Alaña, Luis A. - 2000

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal...

Persistent link: https://www.econbiz.de/10009612017

Benkwitz, Alexander; Lütkepohl, Helmut; Neumann, Michael H. - 1997

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed … situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results …

Persistent link: https://www.econbiz.de/10009660382

The Beveridge-Nelson decomposition : a different perspective with new results

Gómez, Víctor; Breitung, Jörg - 1998

We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

Persistent link: https://www.econbiz.de/10009577456

Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity

Giraitis, Liudas; Kokoszka, Piotr; Leipus, Remigijus; … - 1999

The paper is concerned with the estimation of the long memory parameter in a conditionally heteroskedastic model … models ; semiparametric estimation ; modified R/S ; KPSS and V/S statistics ; periodogram …

Persistent link: https://www.econbiz.de/10009581091

Common cycles : a frequency domain approach

Breitung, Jörg; Candelon, Bertrand - 2000

series with a zero spectral density at some frequency. Estimation and inference can be performed using an Instrumental …

Persistent link: https://www.econbiz.de/10009612024

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10009614295

The dynamics of implied volatilities : a common principal components approach

Fengler, Matthias R.; Härdle, Wolfgang; Villa, Christophe - 2001

It is common practice to identify the number and sources of shocks that move implied volatilities across space and time by applying Principal Components Analysis (PCA) to pooled covariance matrices of changes in implied volatilities. This approach, however, is likely to result in a loss of...

Persistent link: https://www.econbiz.de/10009613597

On robustness of model-based bootstrap schemes in nonparametric time series analysis

Neumann, Michael H. - 1997

asymptotically for the bootstrap to be valid. However, certain model-based bootstrap methods remain valid for some interesting … bootstrap schemes remain valid for supremum-type functionals as long as they mimic the corresponding finite-dimensional joint … distributions consistently. As an example, we investigate a finite order Markov chain bootstrap in the context of a general …

Persistent link: https://www.econbiz.de/10009660380