Search Results - subject:"conditional heteroscedasticity"

On the role of volatility for modelling risk exposure

Olmo, Jose - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 219-234

We show in this paper that volatility measures can be misleading indicators of risk if returns do not follow a Gaussian distribution. A more reliable measure of risk is the probability distribution of the return on an asset. Estimators for these measures are usually challenging and need of...

Persistent link: https://www.econbiz.de/10008538671

A Dynamic Conditionally Heteroscedastic Stochastic Frontier Model

Löthgren, Mickael - Economics Institute for Research (SIR), … - 1998

This paper presents a new dynamic ARCH-related conditionally heteroscedastic stochastic frontier model specification where firm and time-specific technical inefficiency is represented by an autoregressive stochastic process in the error components. Monte Carlo results reveal that a one-sided...

Persistent link: https://www.econbiz.de/10005423824

Long and short memory conditional heteroscedasticity in estimating the memory parameter of levels

Robinson, Peter M.; Henry, Marc - London School of Economics (LSE) - 1998

estimates forbids conditional heteroscedasticity. We show that a leading semiparametric estimate, the Gaussian or local Whittle … one, can be consistent and have the same limiting distribution under conditional heteroscedasticity as under conditional …, we allow, under regularity conditions, for conditional heteroscedasticity of the general form introduced by Robinson …

Persistent link: https://www.econbiz.de/10010745869

Long and Short Memory Conditional Heteroscedasticity in Estimating the Memory Parameter of Levels - (Now published in Econometric Theory, 15 (1999), pp.299-336.)

Henry, Marc; Robinson, Peter M - Suntory and Toyota International Centres for Economics … - 1998

estimates forbids conditional heteroscedasticity. We show that a leading semiparametric estimate, the Gaussian or local Whittle … one, can be consistent and have the same limiting distribution under conditional heteroscedasticity assumed by Robinson … regularity conditions, for conditional heteroscedasticity of the general form introduced by Robinson (1991) which may include …

Persistent link: https://www.econbiz.de/10005670795