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Testing for parameter instability in competing modeling frameworks
Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 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/10010229896
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
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 microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce … be used to predict the emergence, existence and burst of bubbles. We adopt a flexible observation driven model …
Persistent link: https://www.econbiz.de/10011928329
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...
Persistent link: https://www.econbiz.de/10010340740
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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 - 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/10010364739
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 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/10010250505
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Conditional score residuals and diagnostic analysis of serial dependence in time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - 2021
We introduce conditional score residuals and provide a general framework for the diagnostic analysis of time series models. A key feature of conditional score residuals is that they account for the shape of the conditional distribution. These residuals offer reliable and powerful diagnostic...
Persistent link: https://www.econbiz.de/10012666810
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011334362
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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A novel test for the presence of local explosive dynamics
Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele; … - 2024
In economics and finance, speculative bubbles take the form of locally explosive dynamics that eventually collapse. We … propose a test for the presence of speculative bubbles in the context of mixed causal-noncausal autoregressive processes. The … test exploits the fact that bubbles are anticipative, that is, they are generated by an extreme shock in the forwardlooking …
Persistent link: https://www.econbiz.de/10014536201