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Testing for Convexity Relevance : An IFRS 9 Benchmark Cashflow Test Proposal (with Stochastic Volatility)
Cefis, Luigi A. - 2017
According to IFRS 9, an Entity shall assess - by performing a quantitative assessment - the relevance of the modification of the time value of money element, i.e. the modification of the interest that can be observed, e.g. in all the instruments whose underlying interest rate tenors are...
Persistent link: https://www.econbiz.de/10012946977
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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Improving Value-at-Risk estimation from the normal EGARCH model
Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106
fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias … long and short positions. Our aim is to utilize the advantages of this model, but still use the bootstrap resampling method …
Persistent link: https://www.econbiz.de/10011632622
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A comparative study of several bootstrap-based tests for the volatility in continuous-time diffusion models
Yan, Tianshun; Zhang, Liping - In: Portuguese economic journal 19 (2020) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10012254540
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A nonparametric specification test for the volatility functions of diffusion processes
Chen, Qiang; Hu, Meidi; Song, Xiaojun - In: Econometric reviews 38 (2019) 5, pp. 557-576
Persistent link: https://www.econbiz.de/10012181335
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201
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Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, Giuseppe - 2018
novel bootstrap, which we show to be valid under general conditions, irrespective of the presence of (unknown) nuisance … parameters on the boundary. That is, the new bootstrap replicates the unknown limiting distribution of the likelihood ratio … statistic under the null hypothesis and is bounded (in probability) under the alternative. The new bootstrap approach, which is …
Persistent link: https://www.econbiz.de/10012908158
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere … and depends on the volatility process; we show that various bootstrap implementations may be used to conduct …
Persistent link: https://www.econbiz.de/10012026102
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Finite-sample distribution-free inference in linear median regressions under heteroscedasticity and non-linear dependence of unknown form
Coudin, Elise; Dufour, Jean-Marie - In: The econometrics journal 12 (2009), pp. 19-49
Persistent link: https://www.econbiz.de/10003876273
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A bootstrap test for jumps in financial economics
Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78
Persistent link: https://www.econbiz.de/10010504752