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Finite sample accuracy of integrated volatility estimators
Nielsen, Morten Ørregaard; Houmann Frederiksen, Per - 2005
estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful …
Persistent link: https://www.econbiz.de/10010290394
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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
-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the … observed noisy price processes. Since wavelet coefficients are significantly larger at the jump locations than the others, we … calibrate the wavelet coefficients through a threshold and declare jump points if the absolute wavelet coefficients exceed the …
Persistent link: https://www.econbiz.de/10011568279
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The Finite-Sample Effects of VAR Dimensions on MLE Bias, MLE Variance and Minimum MSE Estimators: Purely Nonstationary Case.
Lawford, Steve; Stamatogiannis, Michalis P - Department of Economics and Related Studies, University …
Vector autoregressions (VAR's) are an important tool in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue here, by investigating maximum likelihood estimators (MLE's) in the context of a purely nonstationary...
Persistent link: https://www.econbiz.de/10005328412
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Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
Nielsen, Morten Ørregaard; Frederiksen, Per - 2005
differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both …-periodogram regression estimators are shown to be more robust to short-run dynamics than other semiparametric (frequency domain and wavelet … wavelet based estimators are heavily biased. …
Persistent link: https://www.econbiz.de/10010290342
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Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
Nielsen, Morten Ørregaard; Frederiksen, Per - Economics Department, Queen's University - 2005
differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both …-periodogram regression estimators are shown to be more robust to short-run dynamics than other semiparametric (frequency domain and wavelet … wavelet based estimators are heavily biased. …
Persistent link: https://www.econbiz.de/10005688402
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Finite sample accuracy of integrated volatility estimators
Nielsen, Morten Ørregaard; Frederiksen, Per - 2005
estimator, and the wavelet estimator, when a typical sample of high-frequency data is observed. We employ several different … volatility process. However, bid-ask bounce effects render realized volatility and especially the wavelet estimator less useful … ; market microstructure ; Monte Carlo simulation ; realized volatility ; wavelet …
Persistent link: https://www.econbiz.de/10003919701
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Testing Structural Hypotheses on Cointegration Vectors: A Monte Carlo Study
Eriksson, Åsa - 2004
In this paper, two tests for structural hypotheses on cointegration vectors are evaluated in a Monte Carlo study. The tests are the likelihood ratio test proposed by Johansen (1991) and the test for stationarity proposed by Kwiatkowski et al (1992). The analysis of the likelihood ratio test is...
Persistent link: https://www.econbiz.de/10013208469
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Finite-Sample Stability of the KPSS Test
Jönsson, Kristian - 2006
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10013208507
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Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
Durbin, J.; Koopman, S.J.M. - Tilburg University, Center for Economic Research - 1998
The analysis of non-Gaussian time series using state space models is considered from both classical and Bayesian perspectives. The treatment in both cases is based on simulation using importance sampling and antithetic variables; Monte Carlo Markov chain methods are not employed. Non-Gaussian...
Persistent link: https://www.econbiz.de/10011091499
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Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems
Aloy, Marcel; Truchis, Gilles de - 2013
Estimation methods of bivariate fractional cointegration models are numerous. In most cases they have non-equivalent asymptotic and finite sample properties, implying diffculties in determining an optimal estimation strategy. In this paper, we address this issue by means of simulations and...
Persistent link: https://www.econbiz.de/10010900236