Similar Search Results

How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 436-456

Conditionally Heteroskedastic (FIGARCH) and the two-state Markov Regime-Switching GARCH (RS-GARCH) models. For most of the DJN 65 … FIGARCH generally outperforms RS-GARCH. … a greater impact on volatility than positive news. Furthermore, the results from the RS-GARCH model indicate that news …

Persistent link: https://www.econbiz.de/10010730257

Modeling high-frequency volatility with three-state FIGARCH models

Shi, Yanlin; Ho, Kin-Yip - In: Economic modelling 51 (2015), pp. 473-483

Persistent link: https://www.econbiz.de/10011476127

How does news sentiment impact asset volatility? : evidence from long memory and regime-switching approaches

Ho, Kin-Yip; Shi, Yanlin; Zhang, Zhaoyong - In: The North American journal of economics and finance : a … 26 (2013), pp. 436-456

Persistent link: https://www.econbiz.de/10010367572

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070

Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes

Hualde, Javier; Iacone, Fabrizio - In: Economics letters 150 (2017), pp. 39-43

Persistent link: https://www.econbiz.de/10011762253

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2021

Persistent link: https://www.econbiz.de/10012434016

Testing for a change in mean under fractional integration

Iacone, Fabrizio; Leybourne, Stephen James; Taylor, Robert - In: Journal of time series econometrics 9 (2017) 1, pp. 1-8

Persistent link: https://www.econbiz.de/10011671125

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 880-896

Persistent link: https://www.econbiz.de/10013534577

Modeling high frequency data with long memory and structural change : A-HYEGARCH model

Shi, Yanlin; Yang, Yang - In: Risks : open access journal 6 (2018) 2, pp. 1-28

In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The...

Persistent link: https://www.econbiz.de/10011811728

A discussion on the robustness of conditional heteroskedasticity models : simulation evidence and applications of the crude oil returns

Shi, Yanlin - In: Finance research letters 44 (2022), pp. 1-8

Persistent link: https://www.econbiz.de/10014494772