Search Results - subject:"Nonlinear Time Series"

Nonlinear time series: semiparametric and nonparametric methods

Gao, Jiti - Volkswirtschaftliche Fakultät, … - 2007

Useful in the theoretical and empirical analysis of nonlinear time series data, semiparametric methods have received … models and methods. Answering the call for an up-to-date overview of the latest developments in the field, "Nonlinear Time … Series: Semiparametric and Nonparametric Methods" focuses on various semiparametric methods in model estimation …

Persistent link: https://www.econbiz.de/10011111474

Phase Space Reconstruction and Nonlinear Equilibrium Dynamics in the United States Beef Market

McCullough, Michael; Marsh, Thomas L.; Huffaker, Ray G. - Agricultural and Applied Economics Association - AAEA - 2007

This paper investigates dynamic interactions in the US beef market using phase space reconstruction, which has been developed to analyze nonlinear dynamical systems. This approach provides important and unique empirical insights into consumers behavior in the beef market. Our results from a...

Persistent link: https://www.econbiz.de/10005038906

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, Mika; Saikkonen, Pentti - Department of Economics, Oxford University - 2007

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or `hidden`. Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two...

Persistent link: https://www.econbiz.de/10005047884

Detecting Misspecifications in Autoregressive Conditional Duration Models

Hong, Yongmiao; Lee, Yoon-Jin - Center for Applied Economics and Policy Research … - 2007

We propose a new class of specification tests for Autoregressive Conditional Duration (ACD) models. Both linear and nonlinear ACD models are covered, and standardized innovations can have time-varying conditional dispersion and higher order conditional moments of unknown form. No specific...

Persistent link: https://www.econbiz.de/10005727846

Stationarity and geometric ergodicity of a class of nonlinear ARCH models

Saidi, Youssef; Zakoian, Jean-Michel - Volkswirtschaftliche Fakultät, … - 2006

A class of nonlinear ARCH processes is introduced and studied. The existence of a strictly stationary and β-mixing solution is established under a mild assumption on the density of the underlying independent process. We give sufficient conditions for the existence of moments. The analysis...

Persistent link: https://www.econbiz.de/10011167230

Adaptive orthogonal series estimation in additive stochastic regression models

Wolff, Rodney C; Gao, Jiti; Tong, Howell - School of Economics and Finance, Business School - 2006

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation criterion, an adaptive and simultaneous estimation procedure for the nonparametric components is...

Persistent link: https://www.econbiz.de/10008694534

Granger Causality in Risk and Detection of Extreme Risk Spillover Between Financial Markets

Hong, Yongmiao; Liu, Yanhui; Wang, Shouyang - 2013

Controlling and monitoring extreme downside market risk is important for financial risk management and portfolio/investment diversification. In this paper, we introduce a new concept of Granger causality in risk and propose a class of kernel-based tests to detect extreme downside risk spillover...

Persistent link: https://www.econbiz.de/10011132900

Residual-based Rank Specification Tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J M - C.E.P.R. Discussion Papers - 2013

This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR-GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. For...

Persistent link: https://www.econbiz.de/10011084012

Testing for financial crashes using the Log Periodic Power Law model

Brée, David S.; Joseph, Nathan Lael - In: International Review of Financial Analysis 30 (2013) C, pp. 287-297

Many papers claim that a Log Periodic Power Law (LPPL) model fitted to financial market bubbles that precede large market falls or ‘crashes’, contains parameters that are confined within certain ranges. Further, it is claimed that the underlying model is based on influence percolation and a...

Persistent link: https://www.econbiz.de/10010730282

Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity

Chen, Cathy; Gerlach, Richard - In: Computational Statistics 28 (2013) 3, pp. 1103-1131

, GARCH dynamics with nonlinearity are added to a nonlinear time series regression model. An adaptive Bayesian Markov chain …

Persistent link: https://www.econbiz.de/10010847606