Narrow search
Showing 1 - 10 of 520
Cover Image
Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure
Amado, Cristina (contributor); Teräsvirta, Timo (contributor) - 2008
In this paper, we propose two parametric alternatives to the standard GARCH model. They allow the conditional variance to have a smooth time-varying structure of either additive or multiplicative type. The suggested parameterizations describe both nonlinearity and structural change in the...
Persistent link: https://www.econbiz.de/10003618525
Cover Image
Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
Cover Image
Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these … features (and hence the power gains) increases with the observation frequency. This is illustrated using both Monte Carlo …
Persistent link: https://www.econbiz.de/10011342578
Cover Image
Valid inference for a class of models where standard inference performs poorly : including nonlinear regression, ARMA, GARCH, and unobserved components
Ma, Jun; Nelson, Charles R. - 2010
In models that have a representation of the form       ) , ( x g y the Wald test for ˆBeta has systematically wrong size in finite samples when the indentifying parameter Gamma is small relative to its estimation error. An alternative test based on linearization of g(.) can be...
Persistent link: https://www.econbiz.de/10009732563
Cover Image
Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models
Conrad, Christian; Mammen, Enno - 2008
We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...
Persistent link: https://www.econbiz.de/10003747376
Cover Image
A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy (contributor) - 2001 - [Elektronische Ressource]
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...
Persistent link: https://www.econbiz.de/10001600059
Cover Image
Multivariate Autocontours for Specification Testing in Multivariate GARCH Models
González-Rivera, Gloria - 2011
problem. We perform Monte-Carlo simulations to investigate the size and power properties of the test statistics in finite …
Persistent link: https://www.econbiz.de/10013118196
Cover Image
Evidence of GARCH Effect in Stock Returns : Vietnam Stock Market 2000-2003
Vuong, Quan Hoang - 2009
The Vietnamese Stock Market was officially born on July 20, 2000, and considered an experiment, in the sense that it would likely accept adjustment and constraints to reflect the contemporaneous national economic settings. This paper is one of the first applied econometric studies investigating...
Persistent link: https://www.econbiz.de/10013155255
Cover Image
A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
Cover Image
New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
Skrobotov, Anton - 2020
Many key variables in finance, economics and risk management, including financial returns and foreign exchange rates, exhibit nonlinear dependence, heterogeneity and heavy-tailedness of some usually largely unknown type.The presence of non-linear dependence (usually modelled using GARCH-type...
Persistent link: https://www.econbiz.de/10012836363