Showing 1 - 10 of 26
This paper studies long economic series to assess the long-lasting effects of pandemics. We analyze if periods that cover pandemics have a change in trend and persistence in growth, and in level and persistence in unemployment. We find that there is an upward trend in the persistence level of...
Persistent link: https://www.econbiz.de/10012295989
A fast method for estimating the parameters of a stable-APARCH not requiring likelihood or iteration is proposed. Several powerful tests for the (asymmetric) stable Paretian distribution with tail index 1 α 2 are used for assessing the appropriateness of the stable assumption as the...
Persistent link: https://www.econbiz.de/10011506322
This paper improves a kernel-smoothed test of symmetry through combining it with a new class of asymmetric kernels called the generalized gamma kernels. It is demonstrated that the improved test statistic has a normal limit under the null of symmetry and is consistent under the alternative. A...
Persistent link: https://www.econbiz.de/10011506402
Several graphical methods for testing univariate composite normality from an i.i.d. sample are presented. They are endowed with correct simultaneous error bounds and yield size-correct tests. As all are based on the empirical CDF, they are also consistent for all alternatives. For one test,...
Persistent link: https://www.econbiz.de/10011297545
The Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lung-Fei Lee presented a specification test for a Poisson model against a broad class of discrete distributions sometimes...
Persistent link: https://www.econbiz.de/10012265393
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and...
Persistent link: https://www.econbiz.de/10011504739
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010417180
We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...
Persistent link: https://www.econbiz.de/10010478989
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance targeting, which reduces the degree of parameterization and facilitates estimation. We compare the two approaches and investigate, via simulations, how non-normality features of the...
Persistent link: https://www.econbiz.de/10011410634
Financial asset returns are known to be conditionally heteroskedastic and generally non-normally distributed, fat-tailed and often skewed. These features must be taken into account to produce accurate forecasts of Value-at-Risk (VaR). We provide a comprehensive look at the problem by considering...
Persistent link: https://www.econbiz.de/10011411216