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Bayesian Inference for Periodic Regime-Switching Models

Ghysels, Eric; McCulloch, Robert E.; Tsay, Ruey S. - Centre Interuniversitaire de Recherche en Analyse des … - 1994

We present a general class of nonlinear time series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for nontrivial dependencies between seasonal,...

Persistent link: https://www.econbiz.de/10005101010

On Periodic Autogressive Conditional Heteroskedasticity

Bollerslev, Tim; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1994

periodicity in conditional heteroskedasticity. The periodic structures in GARCH models share many properties with periodic ARMA … also consider periodicity in the common persistence of volatility for several series. A quasi-maximum likelihood estimator … following Bollerslev and Wooldridge (1992) is defined and a LM test for periodicity derived from it. The models are applied to …

Persistent link: https://www.econbiz.de/10005101043

Marginal Likelihood for Markov-Switching and Change-Point Garch Models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen - Centre Interuniversitaire de Recherche en Analyse des … - 2011

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

An Analysis of the Real Interest Rate Under Regime Shifts

Garcia, René; Perron, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 1995

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

Multivariate Option Pricing With Time Varying Volatility and Correlations

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

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

Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?

Ghysels, Eric; Granger, Clive W.J.; Siklos, Pierre L. - Centre Interuniversitaire de Recherche en Analyse des … - 1995

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

Conditional Quantiles of Volatility in Equity Index and Foreign Exchange Data

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

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

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

Nonlinear Features of Realized FX Volatility

Maheu, John M.; McCurdy, Thomas H. - Centre Interuniversitaire de Recherche en Analyse des … - 2001

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

A Semi-Parametric Factor Model for Interest Rates

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1996

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