Similar Search Results

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

Bayesian unit root inference in the Hamilton model

Hoek, Henk; Paap, Richard - 1994

Persistent link: https://www.econbiz.de/10000560205

Classical and Bayesian aspects of robust unit root inference

Hoek, Henk; Lucas, André; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000151638

On uniformization for continuous-time Markov chains

Dijk, Nicolaas M. van - 1994

Persistent link: https://www.econbiz.de/10000151649

Nonstationarity in GARCH models : a Bayesian analysis

Kleibergen, Frank; Dijk, Herman K. van - 1993

Persistent link: https://www.econbiz.de/10000122477

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van - 1999

In this paper, we make use of state space models toinvestigate the presence of stochastic trends in economic time series. Amodel is specified where such a trend can enter either in the autoregressiverepresentation or in a separate state equation. Tests based on the formerare analogous to...

Persistent link: https://www.econbiz.de/10011302135

Comprehensive definitions of breakdown-points for independent and dependent observations

Genton, Marc G.; Lucas, André - 2000

-series, spatial statistics) where currenty breakdown definitions typically fail. We illustrate our points using examples from linear … and non-linear regression as well as time-series and spatial statistics. …

Persistent link: https://www.econbiz.de/10011303297

The Bayesian score statistic

Kleibergen, Frank; Kleijn, Richard; Paap, Richard - 2000

estimators and Bayesianposteriordistributions based on Jeffreys' priors, towards score statistics. Weillustrate the BSS as a …

Persistent link: https://www.econbiz.de/10011303302

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

Testing for integration using evolving trend and seasonals models : a Bayesian approach

Koop, Gary; Dijk, Herman K. van; Hoek, Henk - 1997

In this paper, we make use of state space models to investigate the presence of stochastic trends in economic time series. A model is specified where such a trend can enter either in the autoregressive representation or in a separate state equation. Tests based on the former are analogous to...

Persistent link: https://www.econbiz.de/10010338455