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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
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279
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Optimal Threshold Selection for Realized Volatility Forecasts in the Presence of Jumps
Sun, Yixiao; Fissel, Benjamin - 2010
When estimating and forecasting realized volatility in the presence of jumps, a form of bias-variance tradeoff is present in the selection of the truncation threshold. We propose an optimal method for threshold selection that minimizes the out-of-sample forecasting loss. The use of a forecasting...
Persistent link: https://www.econbiz.de/10014188741
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Flexible mixture-amount models for business and industry using Gaussian processes
Ruseckaite, Aiste; Fok, Dennis; Goos, Peter - 2016
Many products and services can be described as mixtures of ingredients whose proportions sum to one. Specialized models have been developed for linking the mixture proportions to outcome variables, such as preference, quality and liking. In many scenarios, only the mixture proportions matter for...
Persistent link: https://www.econbiz.de/10011531150
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Stochastic frontier models with dependent errors based on normal and exponential margins
Gómez-Déniz, Emilio; Pérez Rodríguez, Jorge V. - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 3-23
Following the recent work of Gómez-Déniz and Pérez-Rodríguez (2014), this paper extends the results obtained there to the normal-exponential distribution with dependence. Accordingly, the main aim of the present paper is to enhance stochastic production frontier and stochastic cost frontier...
Persistent link: https://www.econbiz.de/10011689621
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - 2020
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the EUR/USD currency pair traded on the...
Persistent link: https://www.econbiz.de/10012219363
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A simple test for causality in volatility
Chang, Chia-Lin; McAleer, Michael - 2016
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or … volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996 …). A subsequent development was the Lagrange Multiplier (LM) test of non-causality in the conditional variance by Hafner …
Persistent link: https://www.econbiz.de/10011556246
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A simple test for causality in volatility
Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5
An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or … volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng … (1996). A subsequent development was the Lagrange Multiplier (LM) test of non-causality in the conditional variance by …
Persistent link: https://www.econbiz.de/10011654183
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The Stochastic Inequality Test - a Test for a Directional Treatment Effect
Schlag, Karl H.; Tremewan, James - 2022
The stochastic inequality test is an exact non-parametric test that can be used to infer whether values in one random sample tend to be higher than in another. In addition it can be used to derive a confidence interval around an intuitive measure of effect size that is readily interpretable...
Persistent link: https://www.econbiz.de/10013281266
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - 2018
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has shown to be useful in discerning exogenous and...
Persistent link: https://www.econbiz.de/10011900335
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Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Blasques, Francisco - 2012
This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...
Persistent link: https://www.econbiz.de/10013097030