Similar Search Results

Semiparametric Efficient Estimation of the Mean of a Time Series in the Presence of Conditional Heterogeneity of Unknown Form

Hodgson, Douglas - Centre de Recherche sur l'Emploi et les Fluctuations … - 2002

We obtain semiparametric efficiency bounds for the estimation of a location parameter in a time series model where the innovations are stationary and ergodic, conditionally symmetric martingale differences but otherwise possess general dependence and distributions of unknown form. We then...

Persistent link: https://www.econbiz.de/10005827158

Deregulated Wholesale Electricity Prices in Italy.

Bosco, Bruno; Parisio, Lucia; Pelagatti, Matteo - Dipartimento di Statistica, Università degli Studi di … - 2006

In this paper we analyze the time series of daily average prices generated in the Italian electricity market, which started to operate as a Pool in April 2004. The objective is to characterize the high degree of autocorrelation and multiple seasonalities in the electricity prices. We use...

Persistent link: https://www.econbiz.de/10005839113

Episodic Nonlinearity in Leading Global Currencies

Serletis, Apostolos; Malliaris, Anastasios; Hinich, Melvin - Department of Economics, Democritus University of Thrace - 2010

We perform non-linearity tests using daily data for leading currencies that include the Australian dollar, British pound, Brazilian real, Canadian dollar, euro, Japanese yen, Mexican peso, and the Swiss franc to resolve the issue of whether these currencies are driven by fundamentals or...

Persistent link: https://www.econbiz.de/10008503575

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

This paper considers a first-order autoregressive model with conditionally heteroskedastic innovations. The asymptotic distributions of least squares (LS), infeasible generalized least squares (GLS), and feasible GLS estimators and t statistics are determined. The GLS procedures allow for...

Persistent link: https://www.econbiz.de/10008528944

Simultaneously Modelling Conditional Heteroskedasticity and Scale Change

Feng, Yuanhua - Zentrum für Finanzen und Ökonometrie, Fachbereich … - 2002

This paper proposes a semiparametric approach by introducing a smooth scale function into the standard GARCH model so that conditional heteroskedasticity and scale change in a financial time series can be modelled simultaneously. An estimation procedure combining kernel estimation of the scale...

Persistent link: https://www.econbiz.de/10005357914

Czech Capital Market Weak-Form Efficiency, Selected Issues

Hájek, Jan - In: Prague Economic Papers 2007 (2007) 4, pp. 303-318

The article discusses several factors that should be addressed when analysing linear dependences and testing the Efficient Market Hypothesis on the Czech capital market in order to avoid possible interpretation biases. The conclusions are based on the empirical analysis of the stock return...

Persistent link: https://www.econbiz.de/10005256994

Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2008

Persistent link: https://www.econbiz.de/10009645614

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Terasvirta, Timo - Núcleo de Investigação em Políticas Económicas … - 2012

In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very … long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an … unconditional variance. Second, the results show that the long-memory property in volatility may be explained by ignored changes in …

Persistent link: https://www.econbiz.de/10009650247

Modelling Changes in the Unconditional Variance of Long Stock Return Series

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2012

Persistent link: https://www.econbiz.de/10009652370

A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter

Andrews, Donald W.K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2011

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of general form and AR parameters that are less than or equal to unity. The CI is a modification of Mikusheva's (2007a) modification of...

Persistent link: https://www.econbiz.de/10009209704