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Finite sample accuracy of integrated volatility estimators

Nielsen, Morten Ørregaard; Frederiksen, Per - 2005

estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful … ; market microstructure ; Monte Carlo simulation ; realized volatility ; wavelet …

Persistent link: https://www.econbiz.de/10003919701

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the … observed noisy price processes. Since wavelet coefficients are significantly larger at the jump locations than the others, we … calibrate the wavelet coefficients through a threshold and declare jump points if the absolute wavelet coefficients exceed the …

Persistent link: https://www.econbiz.de/10011568279

Integrated ARCH, FIGARCH and AR models : origins of long memory

Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...

Persistent link: https://www.econbiz.de/10011405303

Long-run trends and cycles in US house prices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2023

This paper analyses US nominal house prices at an annual frequency over the period from 1927 to 2022 by means of a very general time series model. This includes both a (linear and non-linear) deterministic and a stochastic component, with the latter allowing for fractional orders of integration...

Persistent link: https://www.econbiz.de/10014427184

Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation

Hoffmann, Marc - 2010

wavelet thresholding, we construct adaptive estimators that achieve a nearly optimal rate within a large scale of smoothness …

Persistent link: https://www.econbiz.de/10013139169

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration

Nielsen, Morten Ørregaard (contributor); … - 2005

differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both …-periodogram regression estimators are shown to be more robust to short-run dynamics than other semiparametric (frequency domain and wavelet … wavelet based estimators are heavily biased. -- Bias ; finite sample distribution ; fractional integration ; maximum …

Persistent link: https://www.econbiz.de/10003780898

Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...

Persistent link: https://www.econbiz.de/10011380176

Robustness of the CUSUM and CUSUM-of-squares tests to serial correlation, endogeneity and lack of Structural invariance : some Monte Carlo evidence /

Caporale, Guglielmo Maria; Pittis, Nikitas - 2004

This paper investigates by means of Monte Carlo techniques the robustness of the CUSUM and CUSUM-of-squares tests (Brown et al., 1975) to serial correlation, endogeneity and lack of structural invariance. Our findings suggest that these tests perform better in the context of a dynamic model of...

Persistent link: https://www.econbiz.de/10009728982

The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study

Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004

In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...

Persistent link: https://www.econbiz.de/10009728983

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