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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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Bootstrap Inference on the Boundary of the Parameter Space with Application to Conditional Volatility Models
Cavaliere, Giuseppe - 2018
It is a well-established fact that testing a null hypothesis on the boundary of the parameter space, with an unknown number of nuisance parameters at the boundary, is infeasible in practice in the sense that limiting distributions of standard test statistics are non-pivotal. In particular,...
Persistent link: https://www.econbiz.de/10012908158
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Adaptive testing for cointegration with nonstationary volatility
Boswijk, Herman Peter; Zu, Yang - 2019
This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to a multivariate context. Persistent changes in the innovation variance matrix of a vector autoregressive model lead to size distortions in conventional cointegration tests,...
Persistent link: https://www.econbiz.de/10012026102
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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
Returns in financial assets display consistent excess kurtosis and skewness, implying the presence of large fluctuations not forecasted by Gaussian models. This paper applies a resampling method based on the bootstrap and a bias-correction step to improve Value-at-Risk (VaR) forecasting ability...
Persistent link: https://www.econbiz.de/10011632622
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A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns
Köksal, Bülent - 2009
We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...
Persistent link: https://www.econbiz.de/10013159436
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Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the `Great Moderation.' It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10010343777
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Nonstationary-volatility robust panel unit root tests and the great moderation
Hanck, Christoph; Czudaj, Robert - 2013
This paper argues that typical applications of panel unit root tests should take possible nonstationarity in the … volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … enjoyed by many industrialized countries, known as the "Great Moderation". It also proposes a new testing approach for panel …
Persistent link: https://www.econbiz.de/10009779045
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Estimation of dynamic panel data models with stochastic volatility using particle filters
Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …
Persistent link: https://www.econbiz.de/10011650493
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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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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - In: The econometrics journal 19 (2016) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10011487524