The purpose of the paper is to examine latent volatility Granger causality for four renewable energy Exchange Traded Funds (ETFs) and crude oil ETF (USO), namely solar (TAN), wind (FAN), water (PIO), and nuclear (NLR). Data on the renewable energy and crude oil ETFs are from 18 June 2008 to 20...

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...

We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...

We study a set of fully modified (FM) estimators in multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends, and integer powers of stochastic trends to enter the cointegrating relations. A new feasible generalized least squares...

The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...

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...

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...