Narrow search
Showing 1 - 10 of 234
Cover Image
Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10010325590
Cover Image
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - 2013
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10010326343
Cover Image
A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10010377229
Cover Image
Specification Testing in Hawkes Models
Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015
We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...
Persistent link: https://www.econbiz.de/10011403545
Cover Image
Spurious Regression, Cointegration, and Near Cointegration: A Unifying Approach
Haldrup, Niels; Jansson, Michael - 1999
This paper introduces a representation of an integrated vectortime series in which the coefficient of multiple correlation computed fromthe long-run covariance matrix of the innovation sequences is a primitiveparameter of the model. Based on this representation, a notion of nearcointegration is...
Persistent link: https://www.econbiz.de/10010324535
Cover Image
How to implement the Bootstrap in Static or Stable Dynamic Regression Models
van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10010324912
Cover Image
Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10010325674
Cover Image
Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...
Persistent link: https://www.econbiz.de/10010326053
Cover Image
Conditional score residuals and diagnostic analysis of serial dependence in time series models
Blasques, F.; Gorgi, P.; Koopman, Siem Jan - 2021
-tailed GARCH models. Monte Carlo and empirical results support the finding that conditional score residuals are more reliable in … testing residual autocorrelation, when compared to squared GARCH residuals. We finally show how a diagnostic analysis can be …
Persistent link: https://www.econbiz.de/10012797256
Cover Image
Information Theoretic Optimality of Observation Driven Time Series Models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
justification for the class of generalized autoregressive score models, which covers the GARCH model as a special case. Our main …
Persistent link: https://www.econbiz.de/10010377213