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Volatility Estimation and Jump Testing via Realized Information Variation

Liu, Weiyi - 2016

. We also extend our results to integrated quarticity and higher-order variation estimation, and then propose a new jump …, comparing with alternative methods. The simulations support our theoretical results on volatility estimation and demonstrate …

Persistent link: https://www.econbiz.de/10012986881

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

The Algebra of Two Scales Estimation, and the S-TSRV : High Frequency Estimation That Is Robust to Sampling Times

Mykland, Per A. - 2018

In this paper, we derive a new algebraic property of two scales estimation in high frequency data, under which the …

Persistent link: https://www.econbiz.de/10012914838

Is There a Trend Break in U.S. GNP? A Macroeconomic Perspective

Kilian, Lutz - 2008

Unit root tests against trend break alternatives are based on the premise that the dating of the trend breaks coincides with major economic events with permanent effects on economic activity, such as wars and depressions. Standard economic theory, however, suggests that these events have large...

Persistent link: https://www.econbiz.de/10012770690

Improving the estimation and predictions of small time series models

Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014288356

Modelling Volatility Cycles : The (MF)^2 GARCH Model

Conrad, Christian; Engle, Robert F. - 2021

We propose a multiplicative factor multi frequency component GARCH model which exploits the empirical fact that the daily standardized forecast errors of one-component GARCH models behave counter-cyclical when averaged at a lower frequency. For the new model, we derive the unconditional variance...

Persistent link: https://www.econbiz.de/10013238332

Multivariate Rotated ARCH Models

Noureldin, Diaa - 2013

This paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting, even with rich dynamics. We call them rotated ARCH (RARCH) models. The basic structure is to rotate the returns and then to fit them using a BEKK-type parameterization of the...

Persistent link: https://www.econbiz.de/10013091575

Volatility forecasting when the noise variance Is time-varying

Chaker, Selma; Meddahi, Nour - 2013

This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...

Persistent link: https://www.econbiz.de/10010225492

Matrix Box-Cox models for multivariate realized volatility

Weigand, Roland - 2014

We propose exible models for multivariate realized volatility dynamics which involve generalizations of the Box-Cox transform to the matrix case. The matrix Box-Cox model of realized covariances (MBC-RCov) is based on transformations of the covariance matrix eigenvalues, while for the Box-Cox...

Persistent link: https://www.econbiz.de/10010344500

Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models

Fengler, Matthias - 2016

We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time-t information. Key to our approach is the vector moving average representation of the half-vectorized 'squared' multivariate GARCH process...

Persistent link: https://www.econbiz.de/10012988156