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Evidence on the Importance of Volatility Density Forecasting for Financial Risk Management
Mukherjee, Arpita; Swanson, Norman R. - 2022
that for translation of statistical improvements into economic gains, the choice of volatility estimation technique is …
Persistent link: https://www.econbiz.de/10013314352
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters … turn facilitating consistent estimation of jump diffusion models. A "self excitement" test is also introduced, which is …
Persistent link: https://www.econbiz.de/10010361470
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Testing for Jumps and Jump Intensity Path Dependence
Corradi, Valentina - 2017
In this paper, we fill a gap in the financial econometrics literature, by developing a “jump test” for the null hypothesis that the probability of a jump is zero. The test is based on realized third moments, and uses observations over an increasing time span. The test offers an alternative...
Persistent link: https://www.econbiz.de/10012952731
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Combining two consistent estimators
Chao, John C.; Hausman, Jerry A.; Newey, Whitney K.; … - 2013 - revised August 2012
This paper shows how a weighted average of a forward and reverse Jackknife IV estimator (JIVE) yields estimators that are robust against heteroscedasticity and many instruments. These estimators, called HFUL (Heteroscedasticity robust Fuller) and HLIM (Heteroskedasticity robust limited...
Persistent link: https://www.econbiz.de/10009766699
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A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects
Bhardwaj, Geetesh; Swanson, Norman R. - 2005
horizons and for recursive and rolling estimation schemes. We find that the business cycle does not seem to have an effect on …
Persistent link: https://www.econbiz.de/10010266365
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An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series
Bhardwaj, Geetesh; Swanson, Norman R. - 2004
examined by Ding, Granger and Engle (1993) that suggests that ARFIMA models estimated using a variety of standard estimation … rolling estimation schemes. The strongest evidence in favor of ARFIMA models arises when various transformations of 5 major …
Persistent link: https://www.econbiz.de/10010276818
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A Predictive Comparison of Some Simple Long Memory and Short Memory Models of Daily U.S. Stock Returns, With Emphasis on Business Cycle Effects
Bhardwaj, Geetesh - 2008
horizons and for recursive and rolling estimation schemes. We find that the business cycle does not seem to have an effect on …
Persistent link: https://www.econbiz.de/10012773633
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An Empirical Investigation of the Usefulness of Arfima Models for Predicting Macroeconomic and Financial Time Series
Bhardwaj, Geetesh; Swanson, Norman R. - 2008
examined by Ding, Granger and Engle (1993) that suggests that ARFIMA models estimated using a variety of standard estimation … rolling estimation schemes. The strongest evidence in favor of ARFIMA models arises when various transformations of 5 major …
Persistent link: https://www.econbiz.de/10014069653
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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman R.; Urbach, Richard - 2013
estimation error is crucial to understanding the empirical performance of such models. This "parameter estimation error" result …
Persistent link: https://www.econbiz.de/10009777938
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Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality
Swanson, Norman R. - 2013
parameter estimation error is crucial to understanding the empirical performance of such models. This quot;parameter estimation …
Persistent link: https://www.econbiz.de/10012711524