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Can GARCH Models Capture Long-Range Dependence?
Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1269-1269
fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …
Persistent link: https://www.econbiz.de/10004966253
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Can GARCH Models Capture Long-Range Dependence?
Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1269-1269
fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …
Persistent link: https://www.econbiz.de/10005751404
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Conditional Volatility and Distribution of Exchange Rates: GARCH and FIGARCH Models with NIG Distribution
Kiliç, Rehim - In: Studies in Nonlinear Dynamics & Econometrics 11 (2007) 3, pp. 1430-1430
This paper extends the Fractionally integrated GARCH (FIGARCH) model by incorporating Normal Inverse Gaussian … asymmetry and skewness in the distribution of financial returns. GARCH and FIGARCH models for daily log exchange rate returns … with Normal, Student's t and NIG error distributions as well as GARCH/FIGARCH-in-mean models with t errors are estimated …
Persistent link: https://www.econbiz.de/10005046504
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4
By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing the...
Persistent link: https://www.econbiz.de/10014620822
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Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Tkacz, Greg - In: Studies in Nonlinear Dynamics & Econometrics 5 (2001) 1
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper we instead use the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from...
Persistent link: https://www.econbiz.de/10014620839
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Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2011
Accepted by the <Journal of Empirical Finance</I>.<P> We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to...</p></journal>
Persistent link: https://www.econbiz.de/10011256962
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Long Memory and Level Shifts: Re-Analyzing Inflation Rates
Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - Tinbergen Instituut - 1998
A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...
Persistent link: https://www.econbiz.de/10011257369
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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2011
An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...
Persistent link: https://www.econbiz.de/10011261933
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4, pp. 239-253
By design a wavelet's strength rests in its ability to localize a process simultaneously in time-scalespace. The wavelet's ability to localize a time series in time-scale space directly leads to the computationalefficiency of the wavelet representation of a N £ N matrix operator by allowing...
Persistent link: https://www.econbiz.de/10005046475
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Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Tkacz, Greg - In: Studies in Nonlinear Dynamics & Econometrics 5 (2007) 1, pp. 1068-1068
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper we instead use the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from...
Persistent link: https://www.econbiz.de/10004966154