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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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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 … exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is … significant effects on test outcomes. Our main empirical result is that we find spurious GARCH in about 40% of the cases, while in …
Persistent link: https://www.econbiz.de/10011284080
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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/10011298883
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Multiple Unit Roots in Periodic Autoregression
Boswijk, H. Peter - 2008
In this paper we propose a model selection strategy for a univariate periodic autoregressive time series which involves tests for one or more unit roots and for parameter restrictions corresponding to seasonal unit roots and multiple unit roots at the zero frequency. Examples of models that are...
Persistent link: https://www.econbiz.de/10012775178
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Specification Testing in Hawkes Models
Gresnigt, Francine - 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/10013018807
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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Dijk, Dick van; Terasvirta, Timo; Franses, Philip Hans - In: Econometric Reviews 21 (2002) 1, pp. 1-47
This paper surveys recent developments related to the smooth transition autoregressive (STAR) time series model and several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting. Several useful extensions of the basic STAR model,...
Persistent link: https://www.econbiz.de/10005292341
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Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Institute of Economic Research, Kyoto University - 2012
Macroeconomic forecasts are frequently produced, widely published, intensively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...
Persistent link: https://www.econbiz.de/10010553126
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Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, Rianne - Department of Economics and Finance, College of … - 2012
Macroeconomic forecasts are frequently produced, widely published, inten¬sively discussed and comprehensively used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some...
Persistent link: https://www.econbiz.de/10010556072
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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy
van Dijk, Dick; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003
Nonlinear time series models have become fashionable tools to describe and forecast a variety of economic time series. A closer look at reported empirical studies, however, reveals that these models apparently fit well in-sample, but rarely show a substantial improvement in out-of-sample...
Persistent link: https://www.econbiz.de/10010731787
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Evaluating Macroeconomic Forecast: A Review of Some Recent Developments
Franses, Philip Hans; McAleer, Michael; Legerstee, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review we analyse some recent developments from that...
Persistent link: https://www.econbiz.de/10010731816