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Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

Persistent link: https://www.econbiz.de/10001689297

Volatility spillovers from the US to Australia and China across the GFC

Allen, David E.; McAleer, Michael; Powell, R. J.; … - 2013

Persistent link: https://www.econbiz.de/10009724110

On the invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

Persistent link: https://www.econbiz.de/10010477092

Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

How to implement bootstrap hypothesis testing in static and dynamic regression models

Giersbergen, Noud P. van; Kiviet, Jan F. - 1994

Persistent link: https://www.econbiz.de/10000151691

Lagged cross-products of regression residuals and a family of serial correlation tests

Gooijer, Jan G. de; MacNeill, Ian B. - 1994

Persistent link: https://www.econbiz.de/10000151697

A near optimal test for structural breaks when forecasting under square error loss

Boot, Tom; Pick, Andreas - 2017

We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...

Persistent link: https://www.econbiz.de/10011636475

Cartel dating

Boswijk, Herman Peter; Bun, Maurice J. G.; Schinkel, … - 2016

The begin and end dates of cartels are often ambiguous, despite competition authorities stating them with precision. The legally established infringement period(s), based on documentary evidence, need not coincide with the period(s) of actual cartel effects. In this paper, we show that misdating...

Persistent link: https://www.econbiz.de/10011556236

Specification testing in Hawkes models

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015

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...

Persistent link: https://www.econbiz.de/10011298883

Pivotal statistics for testing structural parameters in instrumental variables regression

Kleibergen, Frank - 2000

We propose a novel statistic for testing the structural parameters in Instrumental Variables Regression. The statistic is straightforward to compute and has a limiting distribution that is pivotal with a degrees of freedom parameter that is equal to the number of tested parameters. It therefore...

Persistent link: https://www.econbiz.de/10011303876