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Doornik, Jurgen A.; Ooms, Marius - 2005

presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests …

Persistent link: https://www.econbiz.de/10011346470

Realized Volatility and Multipower Variation

Andersen, Torben; Todorov, Viktor - 2009

-form volatility modeling and forecasting as well as testing for the presence of jumps …

Persistent link: https://www.econbiz.de/10014202215

Model comparisons in unstable environments

Giacomini, Raffaella; Rossi, Barbara - 2012

The goal of this paper is to develop formal tests to evaluate the relative in-sample performance of two competing, misspecified non-nested models in the presence of possible data instability. Compared to previous approaches to model selection, which are based on measures of global performance,...

Persistent link: https://www.econbiz.de/10009554364

Specification Testing in Hawkes Models

Gresnigt, Francine - 2015

We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...

Persistent link: https://www.econbiz.de/10013018807

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Tofallis, Christopher - 2015

Surveys show that the mean absolute percentage error (MAPE) is the most widely used measure of forecast accuracy in businesses and organizations. It is however, biased: When used to select among competing prediction methods it systematically selects those whose predictions are too low. This is...

Persistent link: https://www.econbiz.de/10013018861

Specification Tests for Nonlinear Dynamic Models

Kheifets, Igor - 2014

involving conditional volatility, conditional higher moments, conditional quantiles, asymmetry, Value at Risk models, duration …

Persistent link: https://www.econbiz.de/10013057774

Variance Estimates and Model Selection

Zaman, Asad; Basci, Sidika; Kiraci, Arzdar - 2012

The large majority of the criteria for model selection are functions of the usual variance estimate for a regression model. The validity of the usual variance estimate depends on some assumptions, most critically the validity of the model being estimated. This is often violated in model...

Persistent link: https://www.econbiz.de/10014190411

A functional approach to test trending volatility

Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …

Persistent link: https://www.econbiz.de/10011456514

Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models

Chen, Cathy W. S.; Gerlach, Richard H.; Choy, Boris; … - 2009

suitability of the model, highlighting the presence of both mean and volatility (size) asymmetry; while the model is favoured over …

Persistent link: https://www.econbiz.de/10014204112

Two Stylized Facts and the GARCH (1,1) Model

Teräsvirta, Timo - 1998

Many high frequency economic or financial time series display two empirical characteristics: high kurtosis and positive autocorrelation in the centred and squared observations. The first-order autocorrelation is typically low, and the autocorrelation function decays slowly. These series are...

Persistent link: https://www.econbiz.de/10014081943