Narrow search
Showing 1 - 10 of 13
Cover Image
Cointegration in a periodic vector autoregression
Kleibergen, Frank; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 1999
to a restriction on a product of parameter matrices. We therefore use GMM to construct estimators of the long …-run (cointegration) parameters and to obtain test statistics for cointegration. We show that the limiting distributions of the GMM …
Persistent link: https://www.econbiz.de/10010837996
Cover Image
Generalized Reduced Rank Tests using the Singular Value Decomposition
Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 2003
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the...
Persistent link: https://www.econbiz.de/10010731839
Cover Image
Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10010837984
Cover Image
Alternative Asymmetric Stochastic Volatility Models
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
on the leverage and size effects. The model is a generalization of the exponential GARCH (EGARCH) model of Nelson (1991 … leverage and size effects are significant, supporting the general model. For TOPIX and USD/AUD returns, the size effect is …
Persistent link: https://www.econbiz.de/10010838005
Cover Image
Model Selection and Testing of Conditional and Stochastic Volatility Models
Caporin, Massimiliano; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …
Persistent link: https://www.econbiz.de/10010731696
Cover Image
Modelling the Asymmetric Volatility in Hog Prices in Taiwan
Chang, Chia-Lin; Huang, Huang, B-W.; Chen, Chen, M-G. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
persistence of symmetry, asymmetry and leverage, respectively. …
Persistent link: https://www.econbiz.de/10010732591
Cover Image
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
Cover Image
Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan
Chang, Chia-Lin; McAleer, Michael; Lim, Lim, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
asymmetric effect. Moreover, there is a leverage effect in the monthly growth rate of Japanese tourists to New Zealand, whereby … the issues related to risk and leverage effects, are also applicable to international tourism flows. …
Persistent link: https://www.econbiz.de/10010732598
Cover Image
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010732607
Cover Image
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732623