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An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation
Francq, Christian; Sucarrat, Genaro - Volkswirtschaftliche Fakultät, … - 2013
Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already … established results in the ARMA literature. We propose an exponential Chi-squared QMLE for log-GARCH models via the ARMA …
Persistent link: https://www.econbiz.de/10011112442
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Why do Russian firms invest abroad? A firm level analysis
Anwar, Amar; Mughal, Mazhar - Volkswirtschaftliche Fakultät, … - 2014
This study examines the motives for Russian outward foreign direct investments (OFDI) around the world. Using firm-level data for Russian firms, home and host country economic, geographical, cultural and institutional drivers of Russian OFDI are analyzed. Findings show that Russian OFDI seems to...
Persistent link: https://www.econbiz.de/10011109478
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A Flexible State Space Model and its Applications
Qian, Hang - Volkswirtschaftliche Fakultät, … - 2012
flexible SSM is applied to the ARMA model, mixed frequency regression and the dynamic factor model with missing data, the state …
Persistent link: https://www.econbiz.de/10011108582
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A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986-2009 with X-12-ARIMA
Medel, Carlos A. - Volkswirtschaftliche Fakultät, … - 2014
It is well known among practitioners that the seasonal adjustment applied to economic time series could involve several decisions to be made by the econometrician. In this paper, I assess which aggregation strategy delivers the best results for the case of the Chilean GDP 1986-2009 quarterly...
Persistent link: https://www.econbiz.de/10011109258
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Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns
Sucarrat, Genaro; Escribano, Alvaro - Volkswirtschaftliche Fakultät, … - 2013
and handles these by combining QML estimation via the ARMA representation with the Expectation-maximisation (EM) algorithm …
Persistent link: https://www.econbiz.de/10011109685
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Estimating population means in covariance stationary process
Halkos, George; Kevork, Ilias - Volkswirtschaftliche Fakultät, … - 2006
under different sample sizes in the stationary ARMA(1,1) process, which can generate different forms of autocorrelation …
Persistent link: https://www.econbiz.de/10009147868
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The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach
Dimitriou, Dimitrios; Simos, Theodore - Volkswirtschaftliche Fakultät, … - 2011
We empirically investigate the relationship between expected stock returns and volatility in the twelve EMU countries as well as five major out of EMU international stock markets. The sample period starts from December 1992 until December 2007 i.e. up to the recent financial crisis. Empirical...
Persistent link: https://www.econbiz.de/10011259141
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QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles
Nyberg, Henri - Volkswirtschaftliche Fakultät, … - 2010
In the empirical finance literature findings on the risk return tradeoff in excess stock market returns are ambiguous. In this study, we develop a new QR-GARCH-M model combining a probit model for a binary business cycle indicator and a regime switching GARCH-in-mean model for excess stock...
Persistent link: https://www.econbiz.de/10008534252
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Asymmetric Volatility Dynamics: Evidence From the Istanbul Stock Exchange
Okay, Nesrin - Volkswirtschaftliche Fakultät, … - 1998
following an ARMA (1,7) process, and the conditional variance with time-dependent conditional heteroskedasticity as represented … by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …
Persistent link: https://www.econbiz.de/10011108476
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Analysis of asymmetry in the price-volume relation: evidence from Pakistani stock market
Mubarik, Fauzia; Javid, Attiya Yasmin - Volkswirtschaftliche Fakultät, … - 2009
volume causing return. The relationship between trading volume and return volatility is analyzed by applying EGARCH model …
Persistent link: https://www.econbiz.de/10011108885