Showing 1 - 5 of 5
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...
Persistent link: https://www.econbiz.de/10013068475
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
We propose a semi-parametric approach for testing orthogonality and causality between two infinite-order co-integrated vector auto-regressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...
Persistent link: https://www.econbiz.de/10013128858
We study two linear estimators for stationary invertible VARMA models in echelon form – to achieve identification (model parameter unicity) – with known Kronecker indices. Such linear estimators are much simpler to compute than Gaussian maximum-likelihood estimators often proposed for such...
Persistent link: https://www.econbiz.de/10014185279
We propose estimators for the parameters of a linear median regression without any assumption on the shape of the error distribution – including no condition on the existence of moments – allowing for heterogeneity (or heteroskedasticity) of unknown form, noncontinuous distributions, and...
Persistent link: https://www.econbiz.de/10014185281