Narrow search
Showing 1 - 10 of 171
Cover Image
Bayesian clustering of many GARCH models
BAUWENS, Luc; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003
We consider the estimation of a large number of GARCH models, of the order of several hundreds. To achieve parsimony …
Persistent link: https://www.econbiz.de/10005008555
Cover Image
ML Estimators for SEM-GARCH Models: Relative Performance of Different Computational Algorithms
Kabili, Andi; Krishnakumar, Jaya - Society for Computational Economics - SCE - 2006
Though multivariate GARCH models are widely used in empirical research, their computational aspects still represent a … simultaneous equations model (SEM) with GARCH errors was considered by Engle and Kroner (1995). While there are many applications … GARCH errors to compute the corresponding ML estimators. We compare different gradient algorithms in a simulation framework …
Persistent link: https://www.econbiz.de/10005342868
Cover Image
Sensitivity Analysis of GARCH Models
Ceci, Vladimiro; Manganelli, Simone; Vecchiato, Walter - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345470
Cover Image
Decision Bounds for Data-Admissible Seasonal Models
Kunst, Robert M. - Department of Economics and Finance Research and … - 1997
The selection problem among models for the seasonal behavior in time series is considered. The central decision of interest is between models with seasonal unit roots and with deterministic cycles. In multivariate models, also the number of stochastic seasonal factors is a discrete parameter of...
Persistent link: https://www.econbiz.de/10005823245
Cover Image
Optimizing Time-series Forecasts for Inflation and Interest Rates Using Simulation and Model Averaging
Jumah, Adusei; Kunst, Robert M. - Department of Economics and Finance Research and … - 2008
Motivated by economic-theory concepts—the Fisher hypothesis and the theory of the term structure—we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...
Persistent link: https://www.econbiz.de/10005823250
Cover Image
Autoregressive Approximations of Multiple Frequency I(1) Processes
Bauer, Dietmar; Wagner, Martin - Department of Economics and Finance Research and … - 2005
We investigate autoregressive approximations of multiple frequency I(1) processes. The underlying data generating process is assumed to allow for an infinite order autoregressive representation where the coefficients of the Wold representation of the suitably filtered process satisfy mild...
Persistent link: https://www.econbiz.de/10005823256
Cover Image
Specification, estimation and evaluation of vector smooth transition autoregressive models with applications
Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014
We consider a nonlinear vector model called the logistic vector smooth transition autoregressive model. The bivariate single-transition vector smooth transition regression model of Camacho (2004) is generalised to a multivariate and multitransition one. A modelling strategy consisting of...
Persistent link: https://www.econbiz.de/10011246311
Cover Image
Forecasting comparison of long term component dynamic models for realized covariance matrices
BAUWENS, Luc; BRAIONE, Manuela; STORTI, Giuseppe - Center for Operations Research and Econometrics (CORE), … - 2014
Novel model specifications that include a time-varying long run component in the dynamics of realized covariance matrices are proposed. The adopted modeling framework allows the secular component to enter the model structure either in an additive fashion or as a multiplicative factor, and to be...
Persistent link: https://www.econbiz.de/10011246317
Cover Image
Linearity and misspecification tests for vector smooth transition regression models
Terasvirta, Timo; Yang, Yukai - Center for Operations Research and Econometrics (CORE), … - 2014
In this paper, we derive Lagrange multiplier and Lagrange multiplier type specification and misspecification tests for vector smooth transition models. We report results from simulation studies in which the size and power properties of the proposed tests in small samples are considered. The...
Persistent link: https://www.econbiz.de/10011246322
Cover Image
Cointegrating Polynomial Regressions
Hong, Seung Hyun; Wagner, Martin - Department of Economics and Finance Research and … - 2011
This paper develops a fully modified OLS estimator for cointegrating polynomial regressions, i.e. for regressions including deterministic variables, integrated processes and powers of integrated processes as explanatory variables and stationary errors. The errors are allowed to be serially...
Persistent link: https://www.econbiz.de/10008869182