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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
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
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
For modeling count time series data, one class of models is generalized integer autoregressive of order p based on thinning operators. It is shown how numerical maximum likelihood estimation is possible by inverting the probability generating function of the conditional distribution of an...
Persistent link: https://www.econbiz.de/10012160754
The paper is concerned with estimation and application of a special stationary integer autoregressive model where multiple binomial thinnings are not independent of one another. Parameter estimation in such models has hitherto been accomplished using method of moments, or nonlinear least...
Persistent link: https://www.econbiz.de/10012265595
Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …
Persistent link: https://www.econbiz.de/10011410634
This paper studies the generalized spatial two stage least squares (GS2SLS) estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators...
Persistent link: https://www.econbiz.de/10009754510