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Asymptotic and finite sample properties for multivariate rotated GARCH models

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; … - In: Econometrics : open access journal 9 (2021) 2, pp. 1-21

This paper derives the statistical properties of a two-step approach to estimating multivariate rotated GARCH-BEKK … (2sQML) estimator, this paper shows consistency and asymptotic normality under weak conditions. While second …-order moments are needed for the consistency of the estimated unconditional covariance matrix, the existence of the finite sixth …

Persistent link: https://www.econbiz.de/10012547429

Exchange rate volatility in Nigeria: Consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN Journal of Applied Statistics 02 (2011) 2, pp. 29-49

examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … was used to analyze the long-run consistency of the naira exchange rate while the time series properties of the data was … examined using the ADF and PP approach, the stationary process, and order of the incorporated series. The ARCH and GARCH models …

Persistent link: https://www.econbiz.de/10011482561

Exchange rate volatility in Nigeria : consistency, persistency & severity analyses

Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49

Persistent link: https://www.econbiz.de/10011477452

Nonstationary ARCH and GARCH with t-Distributed Innovations

Pedersen, Rasmus Søndergaard; Rahbek, Anders - Økonomisk Institut, Københavns Universitet - 2015

Consistency and asymptotic normality are established for the maximum likelihood estimators in the nonstationary ARCH … and GARCH models with general t-distributed innovations. The results hold for joint estimation of (G)ARCH effects and the …

Persistent link: https://www.econbiz.de/10011265726

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11

In this paper, we study the finite sample accuracy of confidence intervals for index functional built via parametric bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution, we propose a Generalized Method of Moment...

Persistent link: https://www.econbiz.de/10011995222

Practical Significance, Meta-Analysis and the Credibility of Economics

Stanley, Tom D.; Doucouliagos, Chris - 2019

Recently, there has been much discussion about replicability and credibility. By integrating the full research record, increasing statistical power, reducing bias and enhancing credibility, meta-analysis is widely regarded as 'best evidence'. Through Monte Carlo simulation, closely calibrated on...

Persistent link: https://www.econbiz.de/10012059188

Seasonality in Regression: An Application of Smoothness Priors

Gersovitz, Mark; MacKinnon, James G. - 1977

This article argues that conventional approaches to the treatment of seasonality in econometric investigation are often inappropriate. A more appropriate technique is to allow all regression coefficients to vary with the season, but to constrain them to do so in a smooth fashion. A Bayesian...

Persistent link: https://www.econbiz.de/10011940418

Dynamic Specification and Testing for Unit Roots and Co-Integration

Banerjee, Anindya - 1994

This paper provides an interpretation of the vast literature on testing for unit roots and estimating co-integrating relations. Emphasis is placed on identifying the particular ways in which methods of dynamic specification need to be modified in order to take account of the possible presence of...

Persistent link: https://www.econbiz.de/10011940573

Moments of IV and JIVE Estimators

Davidson, Russell; MacKinnon, James G. - 2006

We develop a new method, based on the use of polar coordinates, to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results. For JIVE, we obtain the new result that this...

Persistent link: https://www.econbiz.de/10011940699

Constrained general regression in pseudo-Sobolev spaces with application to option pricing

Hlávka, Zdeněk; Peésta, Michal - 2006

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...

Persistent link: https://www.econbiz.de/10010274279