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Inference in non stationary asymmetric garch models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2013

This paper considers the statistical inference of the class of asymmetric power-transformed GARCH(1,1) models in presence of possible explosiveness. We study the explosive behavior of volatility when the strict stationarity condition is not met. This allows us to establish the asymptotic...

Persistent link: https://www.econbiz.de/10011114151

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014

The globalisation on financial markets and the development of financial derivatives has increased not only chances but also potential risk within the banking industry. Especially market risk has gained major significance since market price variation of interest rates, stocks or exchange rates...

Persistent link: https://www.econbiz.de/10010985133

Strict stationarity testing and estimation of explosive ARCH models

Francq, Christian; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2010

This paper studies the asymptotic properties of the quasi-maximum likelihood estimator of ARCH(1) models without strict stationarity constraints, and considers applications to testing problems. The estimator is unrestricted, in the sense that the value of the intercept, which cannot be...

Persistent link: https://www.econbiz.de/10008560969

Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean

Blasques, Francisco - Tinbergen Instituut - 2012

This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...

Persistent link: https://www.econbiz.de/10011257412

Non-Extensitivity versus informative moments for financial models: a unifying framework and empirical results

Herrmann, Klaus - 2009

generalize the notion of GARCH processes in an information-theoretic sense and are able to capture skewness and kurtosis better …

Persistent link: https://www.econbiz.de/10010299757

Robust performance hypothesis testing with smooth functions of population moments

Ledoit, Olivier; Wolf, Michael - 2018

Applied researchers often want to make inference for the difference of a given performance measure for two investment strategies. In this paper, we consider the class of performance measures that are smooth functions of population means of the underlying returns; this class is very rich and...

Persistent link: https://www.econbiz.de/10011969216

Fourth moments of multivariate GARCH processes

Hafner, Christian M. - 2000

provided for the kurtosis and co-kurtosis between components. An impulse response function for kurtosis and co-kurtosis is … defined that allows to analyse the expectation of the (co-)kurtosis conditional on an initial shock. For a bivariate exchange … rate series, these functions indicate that there is a trade-off between conditional variance and conditional kurtosis: the …

Persistent link: https://www.econbiz.de/10010310227

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10010317385

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Persistent link: https://www.econbiz.de/10009767120

Understanding temporal aggregation effects on kurtosis in financial indices

Lieberman, Offer; Phillips, Peter C. B. - 2018

Indices of ﬁnancial returns typically display sample kurtosis that declines towards the Gaussian value 3 as the …. Limit theory for the sample kurtosis reveals that STUR speciﬁcations provide two sources of excess kurtosis, both of which … decline with the sampling interval. Limiting kurtosis is shown to be random and is a functional of the limiting price process …

Persistent link: https://www.econbiz.de/10011948760