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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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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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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Finite sample comparison of parametric, semiparametric, and wavelet estimators of fractional integration
Nielsen, Morten Ørregaard (contributor);  … - 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. -- Bias ; finite sample distribution ; fractional integration ; maximum …
Persistent link: https://www.econbiz.de/10003780898
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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...
Persistent link: https://www.econbiz.de/10011380176