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Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco - 2014
We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation … by reparameterizing the model or by rescaling the score steps in the transition equation for the correlation parameter …. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the …
Persistent link: https://www.econbiz.de/10013063455
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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
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10010325942
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013
This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample)...
Persistent link: https://www.econbiz.de/10010326216
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Improved Likelihood Ratio Tests for Cointegration Rank in the VAR Model
Boswijk, H. Peter; Jansson, Michael; Nielsen, Morten Ø. - 2012
We suggest improved tests for cointegration rank in the vector autoregressive (VAR) model and develop asymptotic distribution theory and local power results. The tests are (quasi-)likelihood ratio tests based on a Gaussian likelihood, but of course the asymptotic results apply more generally....
Persistent link: https://www.econbiz.de/10010326332
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Adaptive Testing for Cointegration with Nonstationary Volatility
Boswijk, Herman Peter; Zu, Yang - 2019
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility process is … possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local power …
Persistent link: https://www.econbiz.de/10012114796
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Cointegrating Polynomial Regressions With Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?
Lin, Yicong; Reuvers, Hanno - 2022
The environmental Kuznets curve predicts an inverted U-shaped relationship between air pollution and economic growth. Current analyses frequently employ models that restrict nonlinearities in the data to be explained by economic growth only. We propose a Global Trend Augmented Cointegrating...
Persistent link: https://www.econbiz.de/10014321767
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Fully Modified Estimation in Cointegrating Polynomial Regressions: Extensions and Monte Carlo Comparison
Lin, Yicong; Reuvers, Hanno - 2022
We study a set of fully modified (FM) estimators in multivariate cointegrating polynomial regressions. Such regressions allow for deterministic trends, stochastic trends, and integer powers of stochastic trends to enter the cointegrating relations. A new feasible generalized least squares...
Persistent link: https://www.econbiz.de/10014321768
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Fractional Cointegration Rank Estimation
Lasak, Katarzyna; Velasco, Carlos - 2014
We consider cointegration rank estimation for a p-dimensional Fractional Vector Error Correction Model. We propose a new two-step procedure which allows testing for further long-run equilibrium relations with possibly different persistence levels. The first step consists in estimating the...
Persistent link: https://www.econbiz.de/10010377205
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Dynamic Correlations and Optimal Hedge Ratios
Bos, Charles S.; Gould, Phillip - 2007
good on the present set of measures as the stochastic volatility models, with or without dynamic correlation. …The focus of this article is using dynamic correlation models for the calculation of minimum variance hedge ratios …. Modelling the correlation explicitly is shown to produce the best hedges when applied to the simulated data. For financial time …
Persistent link: https://www.econbiz.de/10010325498