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Finite sample of the Durbin-Watson test against fractionally integrated disturbances
Kleiber, Christian; Krämer, Walter - Institut für Wirtschafts- und Sozialstatistik, … - 2004
We consider the finite sample power of various tests against serial correlation in the disturbances of a linear … regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the … the disturbances, the power can drop to zero for certain regressors. We also provide a means to detect this zero-power …
Persistent link: https://www.econbiz.de/10009295209
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A simple nonlinear time series model with misleading linear properties
Granger, Clive W.J.; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998
This paper shows how a simple univariate stationary nonlinear process has an autocorrelation function suggesting that …
Persistent link: https://www.econbiz.de/10005649197
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A unified framework for testing in the linear regression model under unknown order of fractional integration
Christensen, Bent Jesper; Kruse, Robinson; Sibbertsen, … - School of Economics and Management, University of Aarhus - 2013
We consider hypothesis testing in a general linear time series regression framework when the possibly fractional order of integration of the error term is unknown. We show that the approach suggested by Vogelsang (1998a) for the case of integer integration does not apply to the case of...
Persistent link: https://www.econbiz.de/10010851190
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Long Memory and Structural Breaks in Realized Volatility: An Irreversible Markov Switching Approach
Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013
This paper proposes a model that simultaneously captures long memory and structural breaks. We model structural breaks through irreversible Markov switching or so-called change-point dynamics. The parameters subject to structural breaks and the unobserved states which determine the position of...
Persistent link: https://www.econbiz.de/10010851215
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The impact of financial crises on the risk-return tradeoff and the leverage effect
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2012
We investigate the impact of financial crises on two fundamental features of stock returns, namely, the risk-return tradeoff and the leverage effect. We apply the fractionally integrated exponential GARCH-in-mean (FIEGARCH-M) model for daily stock return data, which includes both features and...
Persistent link: https://www.econbiz.de/10010851216
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Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
Hillebrand, Eric; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2012
We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in ARMA time series models and apply our modeling framework to daily realized volatility. Asymptotic theory for parameter estimation is developed and two model building...
Persistent link: https://www.econbiz.de/10010851244
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The Exponential Model for the Spectrum of a Time Series: Extensions and Applications
Proietti, Tommaso; Luati, Alessandra - School of Economics and Management, University of Aarhus - 2013
The exponential model for the spectrum of a time series and its fractional extensions are based on the Fourier series expansion of the logarithm of the spectral density. The coefficients of the expansion form the cepstrum of the time series. After deriving the cepstrum of important classes of...
Persistent link: https://www.econbiz.de/10010851251
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Discriminating between fractional integration and spurious long memory
Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014
(spurious) long memory. In particular, the test is shown to have excellent power against a class of stationary and non …
Persistent link: https://www.econbiz.de/10010851300
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Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - Institut de Préparation à l'Administration et à la … - 2014
This paper explores the relevance of asymmetry and long memory in modeling and forecasting the
Persistent link: https://www.econbiz.de/10010860460
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Estimating time-varying currency betas with contagion: New evidence from developed and emerging financial markets
Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Japan and the World Economy 30 (2014) C, pp. 10-24
This paper examines the conditional time-varying currency betas from five developed and six emerging financial markets with contagion and spillover effects. We employ a trivariate asymmetric BEKK-type GARCH-in-Mean (MGARCH-M) approach to estimate the time-varying conditional variance and...
Persistent link: https://www.econbiz.de/10010906891