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Neglected serial correlation tests in UCARIMA models

Fiorentini, Gabriele; Sentana, Enrique - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 121-178

We derive computationally simple and intuitive score tests of neglected serial correlation in unobserved component univariate models using frequency domain techniques. In some common situations in which the alternative model information matrix is singular under the null, we derive one-sided...

Persistent link: https://www.econbiz.de/10011458802

A three-state Markov model for predicting movements of asset returns of a Nigerian Bank

Raheem, Maruf A.; Ezepue, Patrick Oseloka - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-23

We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...

Persistent link: https://www.econbiz.de/10011661502

Stock returns and risk : evidence from quantile

Chiang, Thomas C.; Li, Jiandong - In: Journal of risk and financial management : JRFM 5 (2012) 1, pp. 20-58

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...

Persistent link: https://www.econbiz.de/10011555867

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to … the conditional mean: an ARCH test with a Nadaraya-Watson kernel regression and an ARCH test using a polynomial … nonlinear models, which are unknown a priori. The results reveal that the ARCH tests are robust to the misspecfied conditional …

Persistent link: https://www.econbiz.de/10013183738

Goodness-of-fit tests for copulas of multivariate time series

Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

Persistent link: https://www.econbiz.de/10011654178

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

This paper proposes the Lagrange multiplier test for the null hypothesis thatthe bivariate time series has only a single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by representing the model in alinear state-space form under the...

Persistent link: https://www.econbiz.de/10011555751

Range-based multivariate volatility model with double smooth transition in conditional correlation

Chou, Ray Yeutien; Cai, Yijie - In: Global finance journal 20 (2009) 2, pp. 137-152

Persistent link: https://www.econbiz.de/10003877935

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Multivariate hyper-rotated GARCH-BEKK

Asai, Manabu; McAleer, Michael - In: Journal of time series econometrics 14 (2022) 2, pp. 175-198

Persistent link: https://www.econbiz.de/10013260190

Realized BEKK-CAW models

Asai, Manabu; So, Mike Ka-pui - In: Journal of time series econometrics 15 (2023) 1, pp. 49-77

Persistent link: https://www.econbiz.de/10014288366

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