Showing 1 - 10 of 57
We consider two multivariate long-memory ARCH models, which extend the univariate long-memory ARCH models, we first consider a long-memory extension of the restricted constant conditional correlations (CCC) model introduced by Bollerslev (1990), and we propose a new unrestricted conditional...
Persistent link: https://www.econbiz.de/10009579181
efficient and suitable for use in hypothesis testing. Simulation results indicate that the results obtained from the triangular …
Persistent link: https://www.econbiz.de/10009612025
linear state space representation. We provide a simulation study and apply the test to the HFDF96 data set. Our results …
Persistent link: https://www.econbiz.de/10009578026
Multivariate Volatility Models belong to the class of nonlinear models for financial data. Here we want to focus on multivariate GARCH models. These models assume that the variance of the innovation distribution follows a time dependent process conditional on information which is generated by...
Persistent link: https://www.econbiz.de/10009615423
depend only on the cointegration rank under the null hypothesis. The usefulness of the asymptotic theory for finite samples …
Persistent link: https://www.econbiz.de/10009611546
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...
Persistent link: https://www.econbiz.de/10009580489
This paper examines the relationship between unemployment, real oil price and real interest rates in Canada. Instead of following the classical approach based on I(0) stationarity or I(1) cointegrating relationships, we use fractional integration/cointegration techniques which allow for the...
Persistent link: https://www.econbiz.de/10009614880
. However, simulation results suggest that only the variance ratio statistic is able to compete with the traditional augmented …
Persistent link: https://www.econbiz.de/10009580478
Unit root tests for time series with level shifts of general form are considered when the timing of the shift is unknown. It is proposed to estimate the nuisance parameters of the data generation process including the shift date in a first step and apply standard unit root tests to the...
Persistent link: https://www.econbiz.de/10009581100
Tests for unit roots and other nonstationary hypotheses that were proposed by Robinson (1994) are applied in this article to the Nelson and Plosser's (1982) series. The tests can be expressed in a way allowing for structural breaks under both the null and the alternative hypotheses. When...
Persistent link: https://www.econbiz.de/10009582385