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Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1998

; heteroskedasticity ; GARCH ; bootstrap ; stochastic volatility …

Persistent link: https://www.econbiz.de/10009579187

Asymptotic properties of the nonparametric part in partial linear heteroscedastic regression models

Liang, Hua; Härdle, Wolfgang; Werwatz, Axel - 1997

Persistent link: https://www.econbiz.de/10009659060

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

approach with standard procedures either ignoring heteroskedasticity or adopting a spirit of the White correction. In terms of … gas and crude oil. Unlike standard inference ignoring time varying error variances, heteroskedasticity consistent test … procedures do not deliver any evidence in favor of short run causality between the two series. -- heteroskedasticity ; bootstrap …

Persistent link: https://www.econbiz.de/10009663846

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 proposed by Giraitis, Robinson and Surgailis (1999). We consider methods based on the partial sums of the squared observations which are similar in spirit to the classical R/S...

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

Adaptive estimation for a time inhomogeneous stochastic-volatility model

Härdle, Wolfgang; Spokojnyj, Vladimir G.; Teyssière, … - 2000

Let a process SI , ... ,ST obey the conditionally heteroskedastic equation St = Vt Et whcrc Et is a random noise and Vt is the volatility coefficient which in turn obeys an autoregression type equation log v t = w + a S t- l + nt with an additional noise nt. We consider the situation which the...

Persistent link: https://www.econbiz.de/10009582392

Construction of automatic confidence intervals in nonparametric heteroscedastic regression by a moment-oriented bootstrap

Sommerfeld, Volker - 1997

We construct pointwise confidence intervals for regression functions. The method uses nonparametric kernel estimates and the "moment-oriented" bootstrap method of Bunke which is a wild bootstrap based on smoothed local estimators of higher order error moments. We show that our bootstrap...

Persistent link: https://www.econbiz.de/10009632602