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A dynamic model of the financial real Interaction as a model selection criterion for nonparametric stock market prediction
Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005
Inspired by findings of lowdimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the problem...
Persistent link: https://www.econbiz.de/10005858892
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Robust Efficient Method of Moments
Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...
Persistent link: https://www.econbiz.de/10005858309
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Testing for Stochastic Dominance Efficiency
Scaillet, Olivier; Topaloglou, Nikolas - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We consider consistent tests for stochastic dominance efficiency at any order of a given portfolio with respect to all possible portfolios constructed from a set of assets. We justify block bootstrap approaches to achieve valid inference in a time series setting. The test statistics are computed...
Persistent link: https://www.econbiz.de/10005858776
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Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters
Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We study a test statistic based on the integrated squared difference between a kernel estimator of the copula density and a kernel smoothed estimator of the parametric copula density. We show for fixed smoothing parameters that the test is consistent and that the asymptotic properties are driven...
Persistent link: https://www.econbiz.de/10005858871
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Asymmetry in Tail Dependence of Equity Portfolios
Jondeau, Eric - National Centre of Competence in Research - Financial … - 2010
oftail dependence often have poor nite-sample properties. We therefore develop aparametric model for measuring and testing …
Persistent link: https://www.econbiz.de/10009487001
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Evaluating a class of nonlinear time series models
Heinen, Florian - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
We consider a recently proposed class of nonlinear time series models and focus mainly onmisspecification testing for …
Persistent link: https://www.econbiz.de/10005870742
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Nonparametric Regression on Latent Covariates with an Application toSemiparametric GARCH-in-Mean Models
Conrad, Christian; Mammen, Enno - Alfred-Weber-Institut für Sozial- und …; … - 2008
the estimator is used for testing parametric specifications of the meanfunction. Our leading example is a semiparametric … class of GARCH-in-Mean models. In this set-upour procedure provides a formal framework for testing economic theories that … the usefulness of the methodology by testing the linear risk-return relation predicted by theICAPM.[...] …
Persistent link: https://www.econbiz.de/10009262199
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Two competitive models and theiridentication problem:the ESTAR and TSTAR model
Heinen, Florian; Michael, Stefanie; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
Determining good parameter estimates in ESTAR models is known to be difficult. We showthat the phenomena of getting strongly biased estimators is a consequence of the so-calledidentication problem, the problem of properly distinguishing the transition function in relationto extreme parameter...
Persistent link: https://www.econbiz.de/10009284848
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The dynamics of real exchange rates – A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
this problem by offering a bootstrap based testing procedureto discriminate between these two rival models. We further …
Persistent link: https://www.econbiz.de/10009302598
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
We study the empirical behaviour of semi-parametric log-periodogram estimation forlong memory models when the true process exhibits a change in persistence. Simulationresults confirm theoretical arguments which suggest that evidence for long memory islikely to be found...
Persistent link: https://www.econbiz.de/10009302607