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A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

We advocate the use of absolute moment ratio statistics in conjunctionwith standard variance ratio statistics in order to disentangle lineardependence, non-linear dependence, and leptokurtosis in financial timeseries. Both statistics are computed for multiple return horizonssimultaneously, and...

Persistent link: https://www.econbiz.de/10011299968

Kernel-smoothed conditional quantiles of correlated bivariate discrete data

Gooijer, Jan G. de; Yuan, Ao - 2011

Often socio-economic variables are measured on a discrete scale or rounded to protect confidentiality. Nevertheless, when exploring the effect of a relevant covariate on the whole outcome distribution of a discrete response variable, virtually all common quantile regression methods require the...

Persistent link: https://www.econbiz.de/10011382707

Tests for serial independence and linearity based on correlation integrals

Diks, Cees G. H.; Manzan, Sebastiano - 2001

determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …

Persistent link: https://www.econbiz.de/10011317443

Identifying the impact of hypothetical stakes on experimental outcomes and treatment effects

Fitzgerald, Jack - 2024

Recent studies showing that some outcome variables do not statistically significantly differ between real-stakes and hypothetical-stakes conditions have raised methodological challenges to experimental economics' disciplinary norm that experimental choices should be incentivized with real...

Persistent link: https://www.econbiz.de/10015133652

PyTimeVar : a python package for trending time-varying time series models

Song, Mingxuan; Sluis, Bernhard van der; Lin, Yicong - 2024

bootstrap methods to address this issue. Despite this, no software package in any language has yet offered the recently … implements nonparametric estimation along with multiple new bootstrap-assisted inference methods. It provides a range of … bootstrap techniques for constructing pointwise confidence intervals and simultaneous bands for parameter curves. Additionally …

Persistent link: https://www.econbiz.de/10015073325

Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

Persistent link: https://www.econbiz.de/10010229896

A quantile-based realized measure of variation : new tests for outlying observations in financial data

Bos, Charles S.; Janus, Paweł - 2013

Persistent link: https://www.econbiz.de/10010191207

GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts

Ardia, David; Hoogerheide, Lennart - 2013

Persistent link: https://www.econbiz.de/10010191413

A test for the portion of bivariate dependence in multivariate tail risk

Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014

. The asymptotic properties of the test are provided and a bootstrap based finite sample version of the test is suggested …

Persistent link: https://www.econbiz.de/10010246746

A new bootstrap test for the validity of a set of marginal models for multiple dependent time series : an application to risk analysis

Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014

A novel simulation-based methodology is proposed to test the validity of a set of marginal time series models, where the dependence structure between the time series is taken "directly" from the observed data. The procedure is useful when one wants to summarize the test results for several time...

Persistent link: https://www.econbiz.de/10010250513