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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes

Meitz, Mika (contributor) - 2005

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary … solution is given. -- GARCH ; strict stationarity ; Lyapunov exponent …

Persistent link: https://www.econbiz.de/10003073741

Monitoring structural change in dynamic econometric models

Zeileis, Achim; Leisch, Friedrich; Kleiber, Christian; … - 2002

Persistent link: https://www.econbiz.de/10001742139

A Note on the Vogelsang Test for Additive Outliers

Haldrup, Niels; Sansó, Andreu - 2008

The role of additive outliers in integrated time series has attracted some attention recently and research shows that outlier detection should be an integral part of unit root testing procedures. Recently, Vogelsang (1999) suggested an iterative procedure for the detection of multiple additive...

Persistent link: https://www.econbiz.de/10014217285

Recursive Estimation in Econometrics

Pollock, D. S. G. - 2003

An account is given of recursive regression and of Kalman filtering which gathers the important results and the ideas that lie behind them within a small compass. It emphasises the areas in which econometricians have made contributions, which include the methods for handling the initial-value...

Persistent link: https://www.econbiz.de/10014114231

Efficient Likelihood Inference in Nonstationary Univariate Models

Nielsen, Morten Ørregaard - 2004

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with non-standard limiting distributions that must be simulated on a case-by-case...

Persistent link: https://www.econbiz.de/10014123720

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

On Detecting End-of-Sample Instabilities

Busetti, Fabio - 2012

Tests of parameter instabilities are likely to have low power when change-points occur towards the end of the sample. This paper considers various modifications of existing tests and introduces new statistics designed to have high power in such circumstances. The properties of both Wald-type...

Persistent link: https://www.econbiz.de/10013098957

Monitoring structural change in dynamic econometric models

Zeileis, Achim; Leisch, Friedrich; Kleiber, Christian; … - 2002

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be...

Persistent link: https://www.econbiz.de/10009775964

Are forecast updates progressive?

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009725301

Modelling financial high frequency data using point processes

Bauwens, Luc (contributor); Hautsch, Nikolaus (contributor) - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10003635084