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The correct regularity condition and interpretation of asymmetry in EGARCH
Chang, Chia-Lin; McAleer, Michael - 2017
by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have …
Persistent link: https://www.econbiz.de/10011688332
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010362978
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010477092
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - In: Econometrics : open access journal 2 (2014) 2, pp. 92-97
) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …
Persistent link: https://www.econbiz.de/10010392823
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality
Vatter, Thibault - 2016
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10013007161
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...
Persistent link: https://www.econbiz.de/10012855793
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Seasonality in High Frequency Time Series
Proietti, Tommaso; Pedregal, Diego J. - 2021
Time series observed at higher frequencies than monthly frequency display complex seasonal patterns that result from the combination of multiple seasonal patterns (with annual, monthly, weekly and daily periodicities) and varying periods, due to the irregularity of the calendar. The paper deals...
Persistent link: https://www.econbiz.de/10013240258
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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
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279