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Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren (contributor); … - 2008

This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data...

Persistent link: https://www.econbiz.de/10003742080

Likelihood inference for a nonstationary fractional autoregressive model

Johansen, Søren (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003571225

A powerful tuning parameter free test of the autoregressive unit root hypothesis

Nielsen, Morten Ørregaard (contributor) - 2008

This paper presents a family of simple nonparametric unit root tests indexed by one parameter, d, and containing Breitung's (2002) test as the special case d = 1. It is shown that (i) each member of the family with d 0 is consistent, (ii) the asymptotic distribution depends on d, and thus...

Persistent link: https://www.econbiz.de/10003728253

The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003286582

The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical...

Persistent link: https://www.econbiz.de/10003795294

Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …-type specifications according to standard criteria. -- FIEGARCH ; financial leverage ; GARCH ; long memory ; risk-return tradeoff ; stock …

Persistent link: https://www.econbiz.de/10003852695

Efficient likelihood ratio tests for seasonal unit roots

Jansson, Michael; Nielsen, Morten Ørregaard - 2009

Persistent link: https://www.econbiz.de/10003903502

Long memory in stock market volatility and the volatility-in-mean effect : the FIEGARCH-M model

Christensen, Bent Jesper (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003476066

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...

Persistent link: https://www.econbiz.de/10008665133

A necessary moment condition for the fractional functional central limit theorem

Johansen, Søren; Nielsen, Morten Ørregaard - 2010

Persistent link: https://www.econbiz.de/10008665552