Showing 1 - 10 of 339
Persistent link: https://www.econbiz.de/10009618705
exhibiting leptokurtosis, asymmetry and conditional heteroskedasticity. It is based on a GARCH-type process driven by noncentral …
Persistent link: https://www.econbiz.de/10010429763
Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …
Persistent link: https://www.econbiz.de/10011297653
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the … approximate maximum likelihood estimator for the GARMA-GARCH model. We discuss a Monte Carlo likelihood method for the GARMA …
Persistent link: https://www.econbiz.de/10011568296
Persistent link: https://www.econbiz.de/10011573592
We discuss several multivariate extensions of the Multiplicative Error Model to take into account dynamic interdependence and contemporaneously correlated innovations (vector MEM or vMEM). We suggest copula functions to link Gamma marginals of the innovations, in a specification where past...
Persistent link: https://www.econbiz.de/10011654447
autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … 2015. The results suggest that the Asymmetric Power of ARCH (APARCH) model is the most accurate model in the GARCH class …
Persistent link: https://www.econbiz.de/10011960525
futures option pricing methodology based on a multivatiate GARCH model is developed. The empirical results show that a …
Persistent link: https://www.econbiz.de/10012588206
We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...
Persistent link: https://www.econbiz.de/10010478989
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10010479050