Narrow search
Showing 1 - 10 of 5,084
Cover Image
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
Cover Image
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
Cover Image
GARCH Models for Daily Stock Returns : Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David - 2020
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10012857089
Cover Image
Fixed and long time span jump tests : new Monte Carlo and empirical evidence
Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...
Persistent link: https://www.econbiz.de/10012025640
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
New Approaches to Robust Inference on Market (Non-)Efficiency, Volatility Clustering and Nonlinear Dependence
Skrobotov, Anton - 2020
-linear dependence (usually modelled using GARCH-type dynamics) and heavy-tailedness may make problematic the analysis of (non … provides asymptotic theory for sample analogues of the above measures in the case of general time series, including GARCH …-type processes. It further develops new approaches to robust inference on them in the case of general GARCH-type processes exhibiting …
Persistent link: https://www.econbiz.de/10012836363
Cover Image
Modeling Stock Price Movements : Multifractality or Multifractionality?
Bianchi, Sergio - 2011
The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...
Persistent link: https://www.econbiz.de/10013122371