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Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George - School of Economics and Management, University of Aarhus - 2007

We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks … and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic …. Common jumps affect all stocks, albeit to varying degrees, while idiosyncratic jumps are stock-specific. Despite the fact …

Persistent link: https://www.econbiz.de/10005787560

Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008550314

Fractional cointegration rank estimation

Lasak, Katarzyna; Velasco, Carlos - School of Economics and Management, University of Aarhus - 2013

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The fi?rst step consists in estimating the...

Persistent link: https://www.econbiz.de/10010851231

Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model

Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2012

We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....

Persistent link: https://www.econbiz.de/10010851301

Modelling conditional correlations of asset returns: A smooth transition approach

Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in …

Persistent link: https://www.econbiz.de/10009652369

Numerical distribution functions of fractional unit root and cointegration tests

MacKinnon, James G.; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010

We calculate numerically the asymptotic distribution functions of likelihood ratio tests for fractional unit roots and cointegration rank. Because these distributions depend on a real-valued parameter, b, which must be estimated, simple tabulation is not feasible. Partly due to the presence of...

Persistent link: https://www.econbiz.de/10008549067

Likelihood based testing for no fractional cointegration

Lasak, Katarzyna - School of Economics and Management, University of Aarhus - 2008

We consider two likelihood ratio tests, so-called maximum eigenvalue and trace tests, for the null of no cointegration when fractional cointegration is allowed under the alternative, which is a first step to generalize the so-called Johansen's procedure to the fractional cointegration case. The...

Persistent link: https://www.econbiz.de/10005440048

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

In this paper we investigate the effects of careful modelling the long-run dynamics of the volatil- ities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over...

Persistent link: https://www.econbiz.de/10009148811

A Bootstrap Cointegration Rank Test for Panels of VAR Models

Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2010

This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the...

Persistent link: https://www.econbiz.de/10008752898

Optimal inference in dynamic models with conditional moment restrictions

Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional moment restrictions are derived. The general efficiency bound is provided, along with estimators attaining the bound. It is demonstrated that the optimal estimators are always...

Persistent link: https://www.econbiz.de/10005114126

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