Similar Search Results

An Eigenfunction Approach for Volatility Modeling.

MEDDAHI, Nour - Département de Sciences Économiques, Université de … - 2001

variance and squared return processes are ARMA and, hence, simple for forecasting and inference purposes; (iv) more importantly …

Persistent link: https://www.econbiz.de/10005545733

GLS Bias Correction for Low Order ARMA models

Richard, Patrick - Département d'économique, Faculté d'administration - 2007

We study the problems of bias correction in the estimation of low order ARMA(p, q) time series models. We introduce a … new method to estimate the bias of the parameters of ARMA(p, q) process based on the analytical form of the GLS …

Persistent link: https://www.econbiz.de/10005609427

Modified Fast Double Sieve Bootstraps for ADF Tests

Richard, Patrick - Département d'économique, Faculté d'administration - 2008

This paper studies the finite sample performance of the sieve bootstrap augmented Dickey-Fuller (ADF) unit root test. It is well known that this test’s accuracy in terms of rejection probability under the null depends greatly on the underlying DGP. Through extensive simulations, we find that...

Persistent link: https://www.econbiz.de/10005642188