Narrow search
Showing 1 - 10 of 82
Cover Image
A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - In: Econometrics 5 (2017) 1, pp. 1-5
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011755368
Cover Image
Global loss diversification in the insurance sector
Sheremet, Oleg; Lucas, André - 2008
stemming from the asset side from those from the liability side by conditioning on general market conditions. We find that for …
Persistent link: https://www.econbiz.de/10011377065
Cover Image
Measuring and predicting heterogeneous recessions
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720726
Cover Image
A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - 2016
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...
Persistent link: https://www.econbiz.de/10011556246
Cover Image
Modeling and estimation of synchronization in multistate Markov-switching models
Çakmaklı, Cem; Paap, Richard; Dijk, Dick van - 2010
This paper develops a Markov-Switching vector autoregressive model that allows for imperfect synchronization of cyclical regimes in multiple variables, due to phase shifts of a single common cycle. The model has three key features: (i) the amount of phase shift can be different across regimes...
Persistent link: https://www.econbiz.de/10011382676
Cover Image
The fiction of Full BEKK
Chang, Chia-Lin; McAleer, Michael - 2017
The purpose of the paper is to show that univariate GARCH is not a special case of multivariate GARCH, specifically the Full BEKK model, except under parametric restrictions on the off-diagonal elements of the random coefficient autoregressive coefficient matrix, provides the regularity...
Persistent link: https://www.econbiz.de/10011587639
Cover Image
Profiteering from the dot-com bubble, sub-prime crisis and Asian financial crisis
McAleer, Michael; Suen, John; Wong, Wing Keung - 2013
Persistent link: https://www.econbiz.de/10009767005
Cover Image
Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010421299
Cover Image
A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97
parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …
Persistent link: https://www.econbiz.de/10010421302
Cover Image
Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080