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Finite Sample Sizes of the GRS Test in the Presence of Dynamic Correlation and Conditional Heteroskedasticity
Grobys, Klaus - 2017
This paper investigates the finite sample properties of the widely-used Gibbons, Ross, Shanken (1989) (GRS) test in the presence of both conditional correlation and conditional heteroskedasticity. It finds that the GRS test exhibits serious size distortions resulting in potentially misleading...
Persistent link: https://www.econbiz.de/10012943966
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The variance of sample autocorrelations : does Barlett's formula work with ARCH data?
Kokoszka, Piotr S. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003782412
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Importance sampling from posterior distributions using copula-like approximations
Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57
Persistent link: https://www.econbiz.de/10012303370
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Sampling properties of criteria for evaluating GARCH volatility forecasts
Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681
Persistent link: https://www.econbiz.de/10003491214
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A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - 2011
Persistent link: https://www.econbiz.de/10008809885
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Small sample properties of GARCH estimates and persistence
Hwang, Soosung; Pereira, Pedro L. Valls - In: The European journal of finance 12 (2006) 6/7, pp. 473-494
Persistent link: https://www.econbiz.de/10003382813
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The finite sample properties of the GARCH option pricing model
Dotsis, George; Markellos, Raphaēl N. - In: The journal of futures markets 27 (2007) 6, pp. 599-615
Persistent link: https://www.econbiz.de/10003493116
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Small sample estimation bias in GARCH models with any number of exogenous variables in the mean equation
Iglesias, Emma M.; Phillips, Garry D. A. - In: Econometric reviews 30 (2011) 3, pp. 303-336
Persistent link: https://www.econbiz.de/10008990434
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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010
used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10011380465
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Adaptive polar sampling with an application to a Bayes measure of value-at-risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - 1999
Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlomethod for Bayesian analysis of models with ill …
Persistent link: https://www.econbiz.de/10011302625