Showing 1 - 10 of 46
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC methods due to the path dependence problem. An unsolved...
Persistent link: https://www.econbiz.de/10009395940
This study considers the time series behavior of the U.S. real interest rate from 1961 to 1986. We provide a statistical characterization of the series using the methodology of Hamilton (1989), by allowing three possible regimes affecting both the mean and variance of the series. The results...
Persistent link: https://www.econbiz.de/10005838749
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk...
Persistent link: https://www.econbiz.de/10008506122
In this paper, we investigate whether seasonal adjustment procedures are, at least approximately, linear data transformations. This question is important with respect to many issues including estimation of regression models with seasonally adjusted data. We focus on the X-11 program and first...
Persistent link: https://www.econbiz.de/10005100511
This paper uses estimation techniques related to those of Galbraith and Zinde-Walsh (2000) for ARCH and GARCH models, based on realized volatility (Andersen and Bollerslev 1998, and others), to estimate the conditional quantiles of daily volatility in samples of equity index and foreign exchange...
Persistent link: https://www.econbiz.de/10005100530
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with exponential decay are essentially equivalent...
Persistent link: https://www.econbiz.de/10005100536
This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent volatility imply that standard time series models of the...
Persistent link: https://www.econbiz.de/10005100557
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...
Persistent link: https://www.econbiz.de/10005100562
In this paper, we consider testing marginal normal distributional assumptions. More precisely, we propose tests based on moment conditions implied by normality. These moment conditions are known as the Stein (1972) equations. They coincide with the first class of moment conditions derived by...
Persistent link: https://www.econbiz.de/10005100582
Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for structural change in models estimates via Simulated Method of Moments (see Duffie and Singleton (1993)). These tests extend the recent work of Andrews (1993) and Sowell (1996a, b)...
Persistent link: https://www.econbiz.de/10005100632