Narrow search
Showing 1 - 10 of 3,043
Cover Image
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
Cover Image
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
Cover Image
Measuring and modeling risk using high-frequency data
Härdle, Wolfgang (contributor);  … - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10003727640
Cover Image
El spread de intermediación en una economía emergente bajo distintos regímenes macroeconómicos : Argentina, 1994 - 2013
Aguirre, Horacio; Burdisso, Tamara; Grillo, Federico; … - 2015
We study the interest rate spread of the Argentine financial system during the last eighteen years. We analyze Granger causality of selected variables, and estimate econometric models that relate spread to macroeconomic and microeconomic factors. Resuls indicate that output growth and...
Persistent link: https://www.econbiz.de/10011333386
Cover Image
Are forecast updates progressive?
Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009725301
Cover Image
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
Cover Image
A Mixture-of-Normal Distribution Modeling Approach in Financial Econometrics : A Selected Review
Wirjanto, Tony S. - 2013
This paper provides a selected review of the recent developments and applications of mixture-of-normal (MN) distribution models in financial econometrics. One noted feature of the MN model is its flexibility in accommodating various shapes of continuous distributions, and its ability in...
Persistent link: https://www.econbiz.de/10013084062
Cover Image
Aggregating Phillips Curves
Imbs, Jean M. - 2007
The New Keynesian Phillips Curve is at the center of two raging empirical debates. First, how can purely forward looking pricing account for the observed persistence in aggregate inflation. Second, price-setting responds to movements in marginal costs, which should therefore be the driving force...
Persistent link: https://www.econbiz.de/10012777640
Cover Image
Testing the 'Inaction Corridor' in a Three-Regime Threshold Error Correction Model with an Application to a Buffer-Stock Model for US Money Demand
Neto, David - 2014
In this paper, we develop a test for the existence of a middle 'band of inaction' in a three-regime threshold vector error correction model (TVECM). A Wald statistic is proposed for this purpose, its limiting distribution is derived (which is non-standard) and critical values calculated through...
Persistent link: https://www.econbiz.de/10013043908
Cover Image
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