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Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model

Bec, Frederique; Guay, Alain; Guerre, Emmanuel - 2009

This paper proposes SupWald tests from a threshold autoregressive model computed with an adaptive set of thresholds. Simple examples of adaptive threshold sets are given. A second contribution of the paper is a general asymptotic null limit theory when the threshold variable is a level variable....

Persistent link: https://www.econbiz.de/10014209706

Testing for a single-factor stochastic volatility in bivariate series

Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61

single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …

Persistent link: https://www.econbiz.de/10011555751

Nonparametric Inference of Jump Autocorrelation

Kwok, Simon - 2020

Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...

Persistent link: https://www.econbiz.de/10012824843

Adaptive Testing for Cointegration with Nonstationary Volatility

Boswijk, H. Peter - 2019

This paper generalises Boswijk and Zu (2018)'s adaptive unit root test for time series with nonstationary volatility to … likelihood ratio test statistic. We find that under suitable conditions, adaptation with respect to the volatility process is … possible, in the sense that nonparametric volatility matrix estimation does not lead to a loss of asymptotic local power …

Persistent link: https://www.econbiz.de/10012868031

Spline smoothing over difficult regions

Koopman, Siem Jan; Wong, Soon Yip - 2008

We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

Persistent link: https://www.econbiz.de/10011377377

A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests

Boswijk, Herman Peter; Lucas, André; Taylor, Nicholas - 1999

This paper provides an extensive Monte-Carlo comparison of severalcontemporary cointegration tests. Apart from the familiar Gaussian basedtests of Johansen, we also consider tests based on non-Gaussianquasi-likelihoods. Moreover, we compare the performance of these parametrictests with tests...

Persistent link: https://www.econbiz.de/10011300549

A mortality model for multi-populations : a semi-parametric approach

Fang, Lei; Härdle, Wolfgang; Park, Juhyun - 2016

Mortality is different across countries, states and regions. Several empirical research works however reveal that mortality trends exhibit a common pattern and show similar structures across populations. The key element in analyzing mortality rate is a time-varying indicator curve. Our main...

Persistent link: https://www.econbiz.de/10011489251

Price dynamics in Tanzanian maize markets : insights from a semiparametric cointegration model

Ihle, Rico; Cramon-Taubadel, Stephan von - 2010

Maize is a major staple food in Sub-Saharan Africa. Monthly maize prices in Tanzania are analyzed since the country is an important maize producer and exporter in East Africa. We analyze price transmission between the five most important urban regions of Tanzania between 2000 and 2008 which...

Persistent link: https://www.econbiz.de/10010342910

Semiparametric Estimation of Locally Stationary Diffusion Models

Koo, Bonsoo - 2010

drift and a volatility coefficient that is allowed to vary over time and space. We propose estimators of all the unknown …

Persistent link: https://www.econbiz.de/10013135540

Long Memory in Stock Returns : An Analysis Using a Wavelet Based Semi-Parametric Estimator

Bhandari, Avishek - 2018

in stock return volatility using traditional time and spectral domain estimators of long memory. The definitive ubiquity … and existence of long memory in the volatility of stock returns is an established stylized fact. The presence of long … long memory in the Indian stock returns and returns volatility. We find the presence of long memory in the volatility of …

Persistent link: https://www.econbiz.de/10012920334