Search Results - subject:"Lagrange Multiplier"

Testing for jumps in the stochastic volatility models

Kobayashi, Masahito - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2597-2608

This paper proposes the Lagrange multiplier (LM) test, or the score test, for jumps in the stochastic volatility (SV …

Persistent link: https://www.econbiz.de/10010749114

Shi, Xiuhong; Kobayashi, Masahito - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2797-2808

estimated under the null hypothesis of no jumps. It is shown that the nuisance parameter is cancelled out in the Lagrange … multiplier (LM) test statistic, and hence that the test is nuisance parameter-free. The one-sided test is also proposed using the …

Persistent link: https://www.econbiz.de/10010750023

Dynamic mean-variance problem with constrained risk control for the insurers

Bai, Lihua; Zhang, Huayue - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 181-205

In this paper, we study optimal reinsurance/new business and investment (no-shorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ) control problem with constraints....

Persistent link: https://www.econbiz.de/10010950020

Application and Diagnostic Checking of Univariate and Multivariate GARCH Models in Serbian Financial Market

Minovic, Jelena - In: Economic Analysis 41 (2008), pp. 73-87

tests of the Ljung-Box type, residual-based diagnostics (RB) and Lagrange Multiplier (LM) tests. In our empirical analysis …

Persistent link: https://www.econbiz.de/10010742005

Correlation testing in time series, spatial and cross-sectional data

Robinson, P.M. - In: Journal of Econometrics 147 (2008) 1, pp. 5-16

class of computationally simple tests is justified. These specialize to Lagrange multiplier tests against parametric …

Persistent link: https://www.econbiz.de/10005285608

Dynamic mean-variance problem with constrained risk control for the insurers

Bai, Lihua; Zhang, Huayue - In: Computational Statistics 68 (2008) 1, pp. 181-205

Persistent link: https://www.econbiz.de/10010759234

Bias correction for the regression-based LM fractional integration test

Demetrescu, Matei; Tarcolea, Adina Ioana - In: Advances in statistical analysis : AStA ; a journal of … 92 (2008) 1, pp. 91-99

Persistent link: https://www.econbiz.de/10003650028

Testing for ARCH in the Presence of a Possibly Misspecified Conditional Mean

Lumsdaine, Robin L.; Ng, Serena - Department of Economics, Boston College - 1998

regression of squared residuals on p of its lags. This test has been shown to have a Lagrange multiplier interpretation and is …

Persistent link: https://www.econbiz.de/10004968826

Short Patches of Outliers, ARCH and Volatility Modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - Tinbergen Institute - 1998

exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is …

Persistent link: https://www.econbiz.de/10005281753

Short Patches of Outliers, ARCH and Volatility Modeling

Franses, Philip Hans; van Dijk, Dick; Lucas, André - 1998

exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is …

Persistent link: https://www.econbiz.de/10010324601