Showing 1 - 10 of 331
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process …
Persistent link: https://www.econbiz.de/10005858309
Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...
Persistent link: https://www.econbiz.de/10005865416
We consider testing for correct specification of a nonparametric instrumental variable regression. In this ill-posed inverse problem setting, the test statistic is based on the empirical minimum distance criterion corresponding to the conditional moment restriction evaluated with a Tikhonov...
Persistent link: https://www.econbiz.de/10005858205
application to nonparametric estimation of an Engel curve. …
Persistent link: https://www.econbiz.de/10005858341
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...
Persistent link: https://www.econbiz.de/10005854964
Driven by the rise in computational power, it has become popular to measure integrated variance with high-frequency squared returns. Though the squared return is a natural choice as a variance estimate, it is not the most efficient one for a given interval length. Extreme-value based estima-...
Persistent link: https://www.econbiz.de/10005858502
This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the … the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform …
Persistent link: https://www.econbiz.de/10005860756
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10005860514
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10005861035
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lüutkepohl (2000b) and Saikkonen,Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10005861697