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Short and Long Memory in Equilibrium Interest Rate Dynamics

Duan, Jin-Chuan; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...

Persistent link: https://www.econbiz.de/10005100611

Nonlinearity and Temporal Dependence

Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009

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

Autoregression-Based Estimators for ARFIMA Models

Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper describes a parameter estimation method for both stationary and non-stationary ARFIMA (p,d,q) models, based on autoregressive approximation. We demonstrate consistency of the estimator for -1/2 d 1, and in the stationary case we provide a Normal approximation to the finite-sample...

Persistent link: https://www.econbiz.de/10005100960

Detecting Mutiple Breaks in Financial Market Volatility Dynamics

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We apply several recently proposed tests for structural breaks in conditional variance and covariance dynamics. The tests apply to both the class of ARCH and SV type processes and allow for long memory features. We also apply them to data-driven volatility estimators using high-frequency data...

Persistent link: https://www.econbiz.de/10005100985

Option Valuation with Conditional Heteroskedasticity and Non-Normality

Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009

We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...

Persistent link: https://www.econbiz.de/10004976982

Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003

GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …

Persistent link: https://www.econbiz.de/10005100677

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

The paper evaluates the performance of several recently proposed change-point tests applied to conditional variance dynamics and conditional distributions of asset returns. These are CUSUM-type tests for beta-mixing processes and EDF-based tests for the residuals of such nonlinear dependent...

Persistent link: https://www.econbiz.de/10005100727

Properties of Estimates of Daily GARCH Parameters Basaed on Intra-Day Observations

Galbraith, John; Zinde-Walsh, Victoria - Centre Interuniversitaire de Recherche en Analyse des … - 2001

We consider estimates of the parameters of GARCH models of daily financial returns, obtained using intra-day (high … not exist. In particular, we consider estimation in this way of an ARCH approximation, and obtain GARCH parameters by a … estimés des paramètres des modèles GARCH pour les rendements financiers journaliers, qui sont obtenus à l'aide des données …

Persistent link: https://www.econbiz.de/10005100771

Temporal Aggregation of Volatility Models

Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2000

the stochastic variance. Our class encompasses the usual GARCH models and various asymmetric GARCH models. Moreover, our … natural extension of the weak GARCH models. Our extension has four advantages: i) we do not assume that the fourth moment is … finite; ii) we allow for asymmetries (skewness, leverage effect) that are excluded by the weak GARCH models; iii) we derive …

Persistent link: https://www.econbiz.de/10005100823

There is a Risk-Return Tradeoff After All

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper studies the ICAPM intertemporal relation between the conditional mean and the conditional variance of the aggregate stock market return. We introduce a new estimator that forecasts monthly variance with past daily squared returns - the Mixed Data Sampling (or MIDAS) approach. Using...

Persistent link: https://www.econbiz.de/10005100874