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Forecasting Volatility of Turkish Markets: A Comparison of Thin and Thick Models

Kilic, Ekrem - EconWPA - 2005

Volatility of financial markets is an important topic for academics, policy makers and market participants. In this … these specifications. Then assuming that the squared returns are the benchmark estimate for actual volatility of the day, I … compare all of the models with respect to how much efficient they are to mimic the realized volatility. At the same time I …

Persistent link: https://www.econbiz.de/10005556286

Do Chinese stock markets share common information arrival processes?

Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004

According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a …) volatility and trading volume changes in different financial markets. An implication is that returns volatility in one stock … market should show positive and contemporaneous correlation with returns volatility in another stock market. This paper tests …

Persistent link: https://www.econbiz.de/10005407887

A Pitfall in Using the Characterization of Granger Non-Causality in Vector Autoregressive Models

Triacca, Umberto - In: Econometrics 3 (2015) 2, pp. 233-239

It is well known that in a vector autoregressive (VAR) model Granger non-causality is characterized by a set of restrictions on the VAR coefficients. This characterization has been derived under the assumption of non-singularity of the covariance matrix of the innovations. This note shows that...

Persistent link: https://www.econbiz.de/10011249490

On the Interpretation of Instrumental Variables in the Presence of Specification Errors

Swamy, P.A.V.B.; Tavlas, George S.; Hall, Stephen G. - In: Econometrics 3 (2015) 1, pp. 55-64

The method of instrumental variables (IV) and the generalized method of moments (GMM), and their applications to the estimation of errors-in-variables and simultaneous equations models in econometrics, require data on a sufficient number of instrumental variables that are both exogenous and...

Persistent link: https://www.econbiz.de/10011147133

Finding Starting-Values for the Estimation of Vector STAR Models

Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90

This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...

Persistent link: https://www.econbiz.de/10011147134

Plug-in Bandwidth Selection for Kernel Density Estimation with Discrete Data

Chu, Chi-Yang; Henderson, Daniel J.; Parmeter, … - In: Econometrics 3 (2015) 2, pp. 199-214

This paper proposes plug-in bandwidth selection for kernel density estimation with discrete data via minimization of mean summed square error. Simulation results show that the plug-in bandwidths perform well, relative to cross-validated bandwidths, in non-uniform designs. We further find that...

Persistent link: https://www.econbiz.de/10011220361

Return and Volatility Spillovers across Equity Markets in Mainland China, Hong Kong and the United States

Mohammadi, Hassan; Tan, Yuting - In: Econometrics 3 (2015) 2, pp. 215-232

Examinations of the dynamics of daily returns and volatility in stock markets of the U.S., Hong Kong and mainland China …

Persistent link: https://www.econbiz.de/10011227996

Detecting Location Shifts during Model Selection by Step-Indicator Saturation

Castle, Jennifer L.; Doornik, Jurgen A.; Hendry, David F.; … - In: Econometrics 3 (2015) 2, pp. 240-264

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Persistent link: https://www.econbiz.de/10011254953

Nonparametric Regression Estimation for Multivariate Null Recurrent Processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

volatility function is consistent. The finite sample performance of the estimate is quite reasonable when the leave-one-out cross …

Persistent link: https://www.econbiz.de/10011254954

Two-Step Lasso Estimation of the Spatial Weights Matrix

Ahrens, Achim; Bhattacharjee, Arnab - In: Econometrics 3 (2015) 1, pp. 128-155

The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the <em>n(n-1)</em> interaction effects in a spatial autoregressive panel model where the spatial dimension...

Persistent link: https://www.econbiz.de/10011196471

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