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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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Testing dependence among serially correlated multi-category variables
Pesaran, M. Hashem (contributor);  … - 2006
maximum canonical correlation between pairs of discrete variables. We also propose a trace canonical correlation test using …
Persistent link: https://www.econbiz.de/10003344606
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Neglected serial correlation tests in UCARIMA models
Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178
We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component …
Persistent link: https://www.econbiz.de/10011458802
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
. These seven scripts contain the Dynamic Conditional Correlation (DCC) framework, Instantaneous Frequency Forecasting (IFF … RCR framework to forecast covariance and correlation structures and finally apply portfolio weighting strategies based on …
Persistent link: https://www.econbiz.de/10014253907
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Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression
Barunik, Jozef; Barunikova, Michaela - 2015
This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...
Persistent link: https://www.econbiz.de/10011280711
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Robust estimation and inference for threshold models with integrated regressors
Chen, Haiqiang - 2013
then generalized to incorporate endogeneity and serial correlation in error terms, under which, we design a Cochrane … for the existence of the threshold effect. Monte Carlo simulations show that our estimators and test statistics perform …
Persistent link: https://www.econbiz.de/10009767269
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Monitoring stationarity and cointegration : conference paper
Wagner, Martin; Wied, Dominik - 2014
cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …
Persistent link: https://www.econbiz.de/10010484411
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Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression
Baruník, Jozef - 2013
This paper revisits the fractional cointegrating relationship between ex-ante implied volatility and ex-post realized volatility. We argue that the concept of corridor implied volatility (CIV) should be used instead of the popular model-free option-implied volatility (MFIV) when assessing the...
Persistent link: https://www.econbiz.de/10013090381
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Multiple Structural Breaks in Cointegrating Regressions : A Model Selection Approach
Schmidt, Alexander - 2019
cointegration in the presence of multiple structural breaks, derive the asymptotic distribution of our test statistics and show that … the proposed tests have power against the null of no cointegration. Finally, we use our new methodology to study the …
Persistent link: https://www.econbiz.de/10012859113