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Residual-based rank specification tests for AR–GARCH type models

Andreou, Elena; Werker, Bas J.M. - In: Journal of Econometrics 185 (2015) 2, pp. 305-331

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...

Persistent link: https://www.econbiz.de/10011190707

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

Local GMM estimation of time series models with conditional moment restrictions

Gospodinov, Nikolay; Otsu, Taisuke - In: Journal of Econometrics 170 (2012) 2, pp. 476-490

This paper investigates statistical properties of the local generalized method of moments (LGMM) estimator for some time series models defined by conditional moment restrictions. First, we consider Markov processes with possible conditional heteroskedasticity of unknown forms and establish the...

Persistent link: https://www.econbiz.de/10010594972

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/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

Testing for Predictability in Conditionally Heteroskedastic Stock Returns

Westerlund, Joakim; Narayan, Paresh Kumar - Deakin University, Faculty of Business and Law, School …

The difficulty of predicting stock returns has recently motivated researchers to start looking for more powerful tests, and the current paper takes a step in this direction. Unlike existing tests, the test proposed here exploits the information contained in the heteroskedasticity of returns,...

Persistent link: https://www.econbiz.de/10010741270

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

Andrews, Donald W. K.; Guggenberger, Patrik - In: The Review of Economics and Statistics 96 (2014) 2, pp. 376-381

This paper introduces a new confidence interval (CI) for the autoregressive parameter (AR) in an AR(1) model that allows for conditional heteroskedasticity of a 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/10011009896

Modelling changes in the unconditional variance of long stock return series

Amado, Cristina; Teräsvirta, Timo - In: Journal of Empirical Finance 25 (2014) C, pp. 15-35

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

Persistent link: https://www.econbiz.de/10011042123

Residual-based Rank Specification Tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

Persistent link: https://www.econbiz.de/10011084012