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Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …

Persistent link: https://www.econbiz.de/10011297653

Generalized fractional processes with long memory and time dependent volatility revisited

Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21

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

Modeling autoregressive processes with moving-quantiles-implied nonlinearity

Ishida, Isao; Kvedaras, Virmantas - In: Econometrics : open access journal 3 (2015) 1, pp. 2-54

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

Mean reversion in stock prices of seven Asian stock markets : unit root test and stationary test with Fourier functions

Wang, Juan; Zhang, Dongxiang; Zhang, Jian - In: International review of economics & finance : IREF 37 (2015), pp. 157-164

Persistent link: https://www.econbiz.de/10011538307

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150

heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and … Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). The underlying stochastic specification to … obtain GARCH was demonstrated by Tsay (1987), and that of EGARCH was shown recently in McAleer and Hafner (2014). These …

Persistent link: https://www.econbiz.de/10010417180

Estimating the competitive storage model with stochastic trends in commodity prices

Osmundsen, Kjartan Kloster; Kleppe, Tore Selland; … - In: Econometrics : open access journal 9 (2021) 4, pp. 1-24

We propose a State-Space Model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions and adds to previous deterministic trend specifications of the storage model. For a Bayesian...

Persistent link: https://www.econbiz.de/10012697516

Frequency-domain evidence for climate change

Mangat, Manveer Kaur; Reschenhofer, Erhard - In: Econometrics : open access journal 8 (2020) 3/28, pp. 1-15

The goal of this paper is to search for conclusive evidence against the stationarity of the global air surface temperature, which is one of the most important indicators of climate change. For this purpose, possible long-range dependencies are investigated in the frequency-domain. Since...

Persistent link: https://www.econbiz.de/10012265709

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Forecasting value-at-risk using block structure multivariate stochastic volatility models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011571858

Is the refining margin stationary?

Población, Javier; Serna, Gregorio - In: International review of economics & finance : IREF 44 (2016), pp. 169-186

Persistent link: https://www.econbiz.de/10011626045