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A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - Tinbergen Instituut - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10011257126
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GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10011257409
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Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011257593
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Maximum Likelihood Estimation for correctly Specified Generalized Autoregressive Score Models: Feedback Effects, Contraction Conditions and Asymptotic Properties
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
The strong consistency and asymptotic normality of the maximum likelihood estimator in observation-driven models usually requires the study of the model both as a filter for the time-varying parameter and as a data generating process (DGP) for observed data. The probabilistic properties of the...
Persistent link: https://www.econbiz.de/10011272581
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Information Theoretic Optimality of Observation driven Time Series Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2014
justification for the class of generalized autoregressive score models, which covers the GARCH model as a special case. Our main …
Persistent link: https://www.econbiz.de/10011272597
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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>
Persistent link: https://www.econbiz.de/10011255584
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper led to a publication in the 'Journal of Econometrics', 2011, 163, 215-230.<P> We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the...</p>
Persistent link: https://www.econbiz.de/10011255794
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Testing for Parameter Instability in Competing Modeling Frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...
Persistent link: https://www.econbiz.de/10011255854
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How to implement the Bootstrap in Static or Stable Dynamic Regression Models
Giersbergen, Noud P.A. van; Kiviet, Jan F. - Tinbergen Instituut - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011256602
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Maximum Likelihood Estimation for Generalized Autoregressive Score Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2014
We study the strong consistency and asymptotic normality of the maximum likelihood estimator for a class of time series models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new and existing observation driven time series models....
Persistent link: https://www.econbiz.de/10011256845