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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Day-of-the-week effect in the Nigerian stock market returns and volatility : does the distributional assumptions influence disappearance?
Osarumwense, Osabuohien-Irabor - In: European financial and accounting journal : EFAJ 10 (2015) 4, pp. 33-44
error distribution were incorporated in the GARCH (2,1) and EGARCH (2,1) models. Result reveals that day-of-the-week effects …
Persistent link: https://www.econbiz.de/10011471089
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 … exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is … significant effects on test outcomes. Our main empirical result is that we find spurious GARCH in about 40% of the cases, while in …
Persistent link: https://www.econbiz.de/10011284080
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - 2014
Many time series exhibit unconditional heteroskedasticity, often in addition to conditional one. But such time-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root and stationarity tests possess null distributions...
Persistent link: https://www.econbiz.de/10010375374
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
justification for the class of generalized autoregressive score models, which covers the GARCH model as a special case. Our main …
Persistent link: https://www.econbiz.de/10010340740
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Sources of the Great Moderation : A Time-Series Analysis of GDP Subsectors
Enders, Walter - 2012
Recent work finds evidence that the volatility of the U.S. economy fell dramatically around the first quarter of 1984. We trace the timing of this so-called "Great Moderation" across many subsectors of the economy in order to better understand its root cause. We find that the interest rate...
Persistent link: https://www.econbiz.de/10013101654
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Spot Variance Path Estimation and Its Application to High Frequency Jump Testing
Bos, Charles S. - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10013153285
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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013
We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...
Persistent link: https://www.econbiz.de/10009743847
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The memory of volatility
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - 2017 - This version: July 31, 2017
The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been considered. Estimates in the literature range roughly...
Persistent link: https://www.econbiz.de/10011715842