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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - In: Journal of Econometrics 172 (2013) 2, pp. 292-306
A new model class for univariate asset returns is proposed which involves the use of mixtures of stable Paretian distributions, and readily lends itself to use in a multivariate context for portfolio selection. The model nests numerous ones currently in use, and is shown to outperform all its...
Persistent link: https://www.econbiz.de/10010608465
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ARCH/GARCH with persistent covariate: Asymptotic theory of MLE
Han, Heejoon; Park, Joon Y. - In: Journal of Econometrics 167 (2012) 1, pp. 95-112
standard GARCH(1, 1) model. For such a model, we derive the asymptotic theory of the quasi-maximum likelihood estimator. In …
Persistent link: https://www.econbiz.de/10010574066
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - In: Journal of Econometrics 178 (2014) P3, pp. 508-522
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10011052313
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Risk-parameter estimation in volatility models
Francq, Christian; Zakoïan, Jean-Michel - In: Journal of Econometrics 184 (2015) 1, pp. 158-173
the innovations are heavy-tailed. For standard GARCH models, the comparison only depends on characteristics of the …
Persistent link: https://www.econbiz.de/10011077602
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Model selection in under-specified equations facing breaks
Castle, Jennifer L.; Hendry, David F. - In: Journal of Econometrics 178 (2014) P2, pp. 286-293
When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which...
Persistent link: https://www.econbiz.de/10010730127
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A quasi-maximum likelihood approach for integrated covariance matrix estimation with high frequency data
Liu, Cheng; Tang, Cheng Yong - In: Journal of Econometrics 180 (2014) 2, pp. 217-232
Estimating the integrated covariance matrix (ICM) from high frequency financial trading data is crucial to reflect the volatilities and covariations of the underlying trading instruments. Such an objective is difficult due to contaminated data with microstructure noises, asynchronous trading...
Persistent link: https://www.econbiz.de/10010776916
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Forecasting by factors, by variables, by both or neither?
Castle, Jennifer L.; Clements, Michael P.; Hendry, David F. - In: Journal of Econometrics 177 (2013) 2, pp. 305-319
We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of...
Persistent link: https://www.econbiz.de/10010709434
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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - In: Journal of Econometrics 175 (2013) 2, pp. 142-153
In this paper, we propose two parametric alternatives to the standard GJR-GARCH model of Glosten et al. (1993), based …
Persistent link: https://www.econbiz.de/10011052196
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Residual-based rank specification tests for AR–GARCH type models
Andreou, Elena; Werker, Bas J.M. - In: Journal of Econometrics 185 (2015) 2, pp. 305-331
AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual … we show that, generally, no size correction is needed in the asymptotic test distribution when applied to AR–GARCH …. Simulations show that our asymptotic approximations work well for a large number of AR–GARCH models and parameter values. We also …
Persistent link: https://www.econbiz.de/10011190707
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Unpredictability in economic analysis, econometric modeling and forecasting
Hendry, David F.; Mizon, Grayham E. - In: Journal of Econometrics 182 (2014) 1, pp. 186-195
Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated...
Persistent link: https://www.econbiz.de/10010785285