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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

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

A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching

Haldrup, Niels; Nielsen, Frank S.; Nielsen, Morten … - School of Economics and Management, University of Aarhus - 2007

A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is...

Persistent link: https://www.econbiz.de/10005440060

Local polynomial Whittle estimation covering non-stationary fractional processes

Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes covering stationary and non-stationary regions. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the local polynomial Whittle estimator...

Persistent link: https://www.econbiz.de/10005440065

A unified framework for testing in the linear regression model under unknown order of fractional integration

Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - School of Economics and Management, University of Aarhus - 2013

We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...

Persistent link: https://www.econbiz.de/10010851190

Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

specifications including a GARCH specification for the conditional variance of volatility. …

Persistent link: https://www.econbiz.de/10010851215

The impact of financial crises on the risk-return tradeoff and the leverage effect

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2012

-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily …

Persistent link: https://www.econbiz.de/10010851216

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Hillebrand, Eric; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2012

We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in ARMA time series models and apply our modeling framework to daily realized volatility. Asymptotic theory for parameter estimation is developed and two model building...

Persistent link: https://www.econbiz.de/10010851244

The Exponential Model for the Spectrum of a Time Series: Extensions and Applications

Proietti, Tommaso; Luati, Alessandra - School of Economics and Management, University of Aarhus - 2013

The exponential model for the spectrum of a time series and its fractional extensions are based on the Fourier series expansion of the logarithm of the spectral density. The coefficients of the expansion form the cepstrum of the time series. After deriving the cepstrum of important classes of...

Persistent link: https://www.econbiz.de/10010851251

Discriminating between fractional integration and spurious long memory

Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014

-stationary random level shift models as well as Markov switching GARCH processes where the break and transition probabilities are …

Persistent link: https://www.econbiz.de/10010851300