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Semiparametric inference in a GARCH-in-mean model

Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - In: Journal of Econometrics 167 (2012) 2, pp. 458-472

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the … parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An …

Persistent link: https://www.econbiz.de/10010574076

On the market risk of securitized timberlands

Sun, Changyou - In: Journal of Forest Economics 19 (2013) 2, pp. 110-127

Over 10 million acres of timberlands in the United States have been securitized through Real Estate Investment Trusts (REITs) in recent years. Publicly traded timber REITs have better liquidity and tax efficiency than private ownership, but at the same time, they are exposed to higher market...

Persistent link: https://www.econbiz.de/10010664291

Testing cointegration relationship in a semiparametric varying coefficient model

Gu, Jingping; Liang, Zhongwen - In: Journal of Econometrics 178 (2014) P1, pp. 57-70

In this paper, we develop two cointegration tests for two varying coefficient cointegration regression models, respectively. Our test statistics are residual based. We derive the asymptotic distributions of test statistics under the null hypothesis of cointegration and show that they are...

Persistent link: https://www.econbiz.de/10011052207

Measurement of extreme market risk: Insights from a comprehensive literature review

Chakraborty, Gourab; Chandrashekhar, G. R. - In: Cogent Economics & Finance 9 (2021) 1, pp. 1-24

The experience of past financial market turmoil suggests that in addition to eroding investor wealth, the severe consequences of rare extreme market events can spillover and impair the broader real economies. In this context, this paper is an evaluation of the methodological and empirical...

Persistent link: https://www.econbiz.de/10014001439

An overview of modified semiparametric memory estimation methods

Busch, Marie; Sibbertsen, Philipp - In: Econometrics 6 (2018) 1, pp. 1-21

performance of nine semiparametric estimation methods. Among them are two standard methods, four modified approaches to account …

Persistent link: https://www.econbiz.de/10011995214

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjøstheim, Dag - In: Econometrics 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011755281

Determinants of economic growth in Ghana: parametric and nonparametric investigations

Adu, George - In: Journal of Developing Areas 47 (2013) 2, pp. 277-301

This paper’s goal was to look for robust evidence on the determinants of economic growth by complementing the usual parametric time series analysis with nonparametric local linear kernel regression. The evidence from the two seemingly competing approaches (parametric versus nonparametric),...

Persistent link: https://www.econbiz.de/10011096442

Can Markov switching model generate long memory?

Baek, Changryong; Fortuna, Natércia; Pipiras, Vladas - In: Economics Letters 124 (2014) 1, pp. 117-121

In an influential work by Diebold and Inoue (2001), the Markov switching model was shown to exhibit long memory, in terms of the behavior of the second moments of partial sums. The relationship between the Markov switching model and long memory is reexamined here. Common estimators of the long...

Persistent link: https://www.econbiz.de/10010784971

Macroeconomic News Effects on the Stock Markets in Intraday Data

Będowska-Sójka, Barbara - In: Central European Journal of Economic Modelling and … 5 (2013) 4, pp. 249-269

The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We...

Persistent link: https://www.econbiz.de/10010875631

Modified local Whittle estimator for long memory processes in the presence of low frequency (and other) contaminations

Hou, Jie; Perron, Pierre - In: Journal of Econometrics 182 (2014) 2, pp. 309-328

estimator provides substantial efficiency gains compared to existing semiparametric estimators in the presence of contaminations …

Persistent link: https://www.econbiz.de/10010906797