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This article was prepared for the Special Issue "Celebrated Econometricians: Katarina Juselius and Søren Johansen" of Econometrics. It is based on material recorded on 30-31 October 2018 in Copenhagen. It explores Katarina Juselius’ research, and discusses inter alia the following issues:...
Persistent link: https://www.econbiz.de/10013355175
cointegration between the different measures and taking their monthly release calendar seriously. We also combine all existing …
Persistent link: https://www.econbiz.de/10013336360
cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We …
Persistent link: https://www.econbiz.de/10013179569
This paper demonstrates that unit root tests can suffer from inflated Type I error rates when data are cointegrated. Results from Monte Carlo simulations show that three commonly used unit root tests - the ADF, Phillips-Perron, and DF-GLS tests - frequently overreject the true null of a unit...
Persistent link: https://www.econbiz.de/10011309691
In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main...
Persistent link: https://www.econbiz.de/10014120167
The theory of conditional copulas provides a means of constructing flexible multivariate density models, allowing for time-varying conditional densities of each individual variable, and for time-varying conditional dependence between the variables. Further, the use of copulas in constructing...
Persistent link: https://www.econbiz.de/10014122438
variability in the short run only. The Engle-Granger and Johansen’s method of co-integration is used to test this theory along …
Persistent link: https://www.econbiz.de/10013226130
The expected value of sums of squared intraday returns (realized variance) gives rise to a least squares regression which adapts itself to the assumptions of the noise process and allows for joint inference on integrated volatility (IV), noise moments and price-noise relations. In the iid noise...
Persistent link: https://www.econbiz.de/10013134748
variability in the short run only. The Engle-Granger and Johansen's method of co-integration is used to test this theory along …
Persistent link: https://www.econbiz.de/10013159460
We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions allowing for a general market microstructure noise specification. We show that our estimators can outperform in terms of the root mean squared error criterion the most recent and...
Persistent link: https://www.econbiz.de/10003533576