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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
Apart from the well-known, high persistence of daily financial volatility data, there is also a short correlation structure that reverts to the mean in less than a month. We find this short correlation time scale in six different daily financial time series and use it to improve the short-term...
Persistent link: https://www.econbiz.de/10005062571
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Do Chinese stock markets share common information arrival processes?
Kostov, Philip; Wu, Ziping; McErlean, Seamus - EconWPA - 2004
According to the Mixture of Distributions Hypothesis (MDH), returns volatility and trading volume are driven by a common news arrival variable. Consequently, these two variables should be correlated. This paper extends, and to some extent, globalises the concept of a common information arrival...
Persistent link: https://www.econbiz.de/10005407887
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A NEW METHOD FOR ESTIMATING THE ORDER OF INTEGRATION OF FRACTIONALLY INTEGRATED PROCESSES USING BISPECTRA
Dalkir, Mehmet - EconWPA - 2005
The method proposed in this chapter is making use of the bispectrum transformation to estimate the level of integration of a fractionally integrated time series. Bispectrum ransformation transforms the series into a two dimensional frequency space, and thus has higher information content...
Persistent link: https://www.econbiz.de/10005407981
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GMM Estimation for Long Memory Latent Variable Volatility and Duration Models
Chen, Willa; Deo, Rohit - EconWPA - 2005
We study the rate of convergence of moment conditions that have been commonly used in the literature for Generalised Method of Moments (GMM) estimation of short memory latent variable volatility models. We show that when the latent variable possesses long memory, these moment conditions have an...
Persistent link: https://www.econbiz.de/10005556285
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark J. - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10014620822
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 4, pp. 239-253
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10005007688
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An Approximate Wavelet MLE of Short- and Long-Memory Parameters
Jensen, Mark - In: Studies in Nonlinear Dynamics & Econometrics 3 (1999) 4, pp. 239-253
when transformed by wavelets.In this paper we generalize the long-memory parameter estimator of McCoy and Walden (1996) to … approximate an ARFIMA model's likelihood function with the series' wavelet coefficientsand their variances. Maximization of this … likelihood estimates of the ARFIMA model.By simultaneously maximizing the likelihood function over both the short and long …
Persistent link: https://www.econbiz.de/10005046475
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Predicting BRICS stock returns using ARFIMA models
Aye, Goodness C.; Balcilar, Mehmet; Gupta, Rangan; … - In: Applied financial economics 24 (2014) 16/18, pp. 1159-1166
Persistent link: https://www.econbiz.de/10010418936
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The long-run Fisher effect: Can it be tested?
Jensen, Mark J. - 2006
Empirical support for the long-run Fisher effect, a hypothesis that a permanent change in inflation leads to an equal change in the nominal interest rate, has been hard to come by. This paper provides a plausible explanation of why past studies have been unable to find support for the long-run...
Persistent link: https://www.econbiz.de/10010292360
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Estimation of Fractional Integration in the Presence of Data Noise
Haldrup, Niels; Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus
The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors, additive outliers, temporary change outliers, and structural change outliers are addressed. It...
Persistent link: https://www.econbiz.de/10005198828