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This article introduces and investigates the properties of a new bootstrap method for time-series data, the kernel block bootstrap. The bootstrap method, although akin to, offers an improvement over the tapered block bootstrap of Paparoditis and Politis (2001), admitting kernels with unbounded...
Persistent link: https://www.econbiz.de/10011941512
This paper applies a novel bootstrap method, the kernel block bootstrap, to quasi-maximum likelihood estimation of dynamic models with stationary strong mixing data. The method first kernel weights the components comprising the quasi-log likelihood function in an appropriate way and then samples...
Persistent link: https://www.econbiz.de/10012146412
In the current paper, the finite-sample stability of various implementations of the KPSS test is studied. The implementations considered differ in how the so-called long-run variance is estimated under the null hypothesis. More specifically, the effects that the choice of kernel, the value of...
Persistent link: https://www.econbiz.de/10013208507
Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and...
Persistent link: https://www.econbiz.de/10012623003
We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...
Persistent link: https://www.econbiz.de/10010283530
In this paper we compare through Monte Carlo simulations the finite sample properties of estimators of the fractional differencing parameter, d. This involves frequency domain, time domain, and wavelet based approaches and we consider both parametric and semiparametric estimation methods. The...
Persistent link: https://www.econbiz.de/10010290342
Persistent link: https://www.econbiz.de/10005537695
This paper investigates the ex post rational price of Shiller (1981) to determine if it is a reliable guide to fundamental valuations of dividend-yielding assets. The ex post rational price is widely used to determine whether stock market price movements are rational responses to market news or...
Persistent link: https://www.econbiz.de/10005478512
We propose a nonparametric estimation technique of the coefficients of an univariate diffusion process. The estimation is done with a process observed at random times, corresponding to the crossing times of discrete levels. We first estimate the scale function of the process, which allows to...
Persistent link: https://www.econbiz.de/10005486782
This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...
Persistent link: https://www.econbiz.de/10005407944