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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26
The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...
Persistent link: https://www.econbiz.de/10014500904
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Residual Log-Periodogram Inference for Long-Run Relationships
Hassler, Uwe; Marmol, Francesc; Velasco, Carlos - 2002
We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...
Persistent link: https://www.econbiz.de/10010323712
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Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates
Sadique, M. Shibley - In: Review of Economics & Finance 1 (2011) June, pp. 77-88
This study investigates the presence of neglected nonlinearity in weekly exchange rates of five countries in terms of Australian dollar. Three prominent nonlinear models from the ARCH family, such as the EGARCH, GARCH-M and EGARCH-M are fitted to the first differenced log of exchange rate...
Persistent link: https://www.econbiz.de/10010927761
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Understanding Exchange Rates Dynamics.
Addo, Peter Martey; Billio, Monica; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2013
With the emergence of the chaos theory and the method of surrogates data, nonlinear approaches employed in analysing time series typically suffer from high computational complexity and lack of straightforward explanation. Therefore, the need for methods capable of characterizing time series in...
Persistent link: https://www.econbiz.de/10010628503
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Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002
We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...
Persistent link: https://www.econbiz.de/10011524765
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on … stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …
Persistent link: https://www.econbiz.de/10011374428
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Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model
Gürtler, Marc; Rauh, Ronald - 2009
A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …
Persistent link: https://www.econbiz.de/10010307938
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …
Persistent link: https://www.econbiz.de/10010477582
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Option-implied term structures
Vogt, Erik - 2014
The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...
Persistent link: https://www.econbiz.de/10010459730
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The Economic Value of Bitcoin : A Portfolio Analysis of Currencies, Gold, Oil and Stocks
Symitsi, Efthymia - 2018
that are not offset by its high volatility. We provide evidence that the low correlation of Bitcoin can also lead to …
Persistent link: https://www.econbiz.de/10012926958