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Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Persistent link: https://www.econbiz.de/10005034729

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Local polynomial Whittle estimation of perturbed fractional processes

Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2008

We propose a semiparametric local polynomial Whittle with noise (LPWN) estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the spectrum of the perturbation as well as that of the short-memory...

Persistent link: https://www.econbiz.de/10005787547

Fully Modified Narrow-Band Least Squares Estimation of Weak Fractional Cointegration

Nielsen, Morten Ørregaard; Frederiksen, Per - School of Economics and Management, University of Aarhus - 2010

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of the cointegrating relation (difference in memory parameters) is less than one-half. A special case is the stationary fractional cointegration model, which has found important...

Persistent link: https://www.econbiz.de/10008462022

Long memory and changing persistence

Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2010

We study the empirical behaviour of semi-parametric log-periodogram estimation for long memory models when the true process exhibits a change in persistence. Simulation results confirm theoretical arguments which suggest that evidence for long memory is likely to be found. A recently proposed...

Persistent link: https://www.econbiz.de/10008462031

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Christensen, Bent Jesper; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2010

We propose a simple model in which realized stock market return volatility and implied volatility backed out of option prices are subject to common level shifts corresponding to movements between bull and bear markets. The model is estimated using the Kalman filter in a generalization to the...

Persistent link: https://www.econbiz.de/10008549066

A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility

Rossi, Eduardo; Magistris, Paolo Santucci de - School of Economics and Management, University of Aarhus - 2009

The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are analyzed, and their joint dynamics are modeled via a...

Persistent link: https://www.econbiz.de/10005037433

Local Whittle estimation of multivariate fractionally integrated processes

Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2009

This paper derives a semiparametric estimator of multivariate fractionally integrated processes covering both stationary and non-stationary values of d. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the multivariate local Whittle estimator of Shimotsu...

Persistent link: https://www.econbiz.de/10004998864

The Effect of Long Memory in Volatility on Stock Market Fluctuations

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2007

Recent empirical evidence demonstrates the presence of an important long memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this...

Persistent link: https://www.econbiz.de/10005198855

Nonparametric Cointegration Analysis of Fractional Systems With Unknown Integration Orders

Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2009

In this paper a nonparametric variance ratio testing approach is proposed for determining the cointegration rank in fractionally integrated systems. The test statistic is easily calculated without prior knowledge of the integration order of the data, the strength of the cointegrating relations,...

Persistent link: https://www.econbiz.de/10005079005