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Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an … indirect test of the hypothesis that volatility is caused by private information that affects prices when informed investors … trade. The result that volatility shocks significantly increase expected inter-transaction durations supports this …

Persistent link: https://www.econbiz.de/10009579173

Modelling exchange rates volatility with multivariate long-memory ARCH processes

Teyssière, Gilles - 1999 - Rev.

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

Backtesting beyond VaR

Härdle, Wolfgang; Stahl, Gerhard - 1999

VaR models are related to statistical forecast systems. Within that framework different forecast tasks including Value-at-Risk and shortfall are discussed and motivated. A backtesting method based on the shortfall is developed and applied to VaR forecasts of areal portfolio. The analysis shows...

Persistent link: https://www.econbiz.de/10009582401

Temporal aggregation and causality in multiple time series models

Breitung, Jörg; Swanson, Norman R. - 1998

asymptotic theory based on large aggregation intervals we derive conditions for a correspondence between both concepts. These …

Persistent link: https://www.econbiz.de/10009578029

Testing for vector autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 2002

parametric specification of the volatility process and takes contemporaneous error correlation implicitly into account. Via a …

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

Money and banks : some theory and empirical evidence for Germany

Holtemöller, Oliver - 2002

In a world with imperfect competition, market externalities or asymmetric information, the impact of money and monetary …. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …

Persistent link: https://www.econbiz.de/10009620766

On the effects of aggregating cointegrated variables over time

Müller-Kademann, Christian - 2002

It has long been recognized that aggregating time series introduces correlation between consecutive values of the aggregated observations (see Working (1960)). This paper investigates the effect of aggregation on the relation between variables assuming that the data generating process involves...

Persistent link: https://www.econbiz.de/10009620772

Structural vector autoregressive models and monetary policy analysis

Holtemöller, Oliver - 2002

possibility is to adopt restrictions from economic theory. The purpose of this paper is to investigate the implications of the …

Persistent link: https://www.econbiz.de/10009620773

On the small sample properties of weak exogeneity tests in cointegrated VAR models

Brüggemann, Ralf - 2002

We investigate the small sample properties of two types of weak exogeneity tests in cointegrated VAR models that are frequently used in applied work. The first one is the standard Likelihood Ratio (LR) test in the Johansen framework. The second test is based on mapping the cointegrated VAR model...

Persistent link: https://www.econbiz.de/10009620777

The effects of ignoring level shifts on systems cointegration tests

Trenkler, Carsten - 2002

In this paper I analyse the effects of ignoring level shifts in the data generating process (DGP) on systems cointegration tests that do not accommodate level shifts. I consider two groups of Likelihood Ratio tests based on procedures suggested by Johansen (1988, 1995) and Saikkonen & Lütkepohl...

Persistent link: https://www.econbiz.de/10009626747

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