Similar Search Results

A simple model that generates stylized facts of returns

Yoon, Gawon - Department of Economics, University of California-San … - 2003

This note shows that a very simple model can generate returns that resemble most of the temporal and distributional behavior of long returns surprisingly well. The model is based on the stochastic unit root process introduced in Granger and Swanson (1997).

Persistent link: https://www.econbiz.de/10010843065

NoVaS Transformations: Flexible Inference for Volatility Forecasting

Politis, Dimitris N; Thomakos, Dimitrios D - Department of Economics, University of California-San … - 2008

. Also striking is that forecasts based on NoVaS invariably outperform those based on the benchmark GARCH(1,1) even when the … true DGP is GARCH(1,1) when the sample size is moderately large, e.g. 350 daily observations. …

Persistent link: https://www.econbiz.de/10010536332

Consistent Estimation for Aggregated GARCH

Komunjer, Ivana - Department of Economics, University of California-San … - 2001

We study the properties of a quasi-maximum likelihood (QML) for the parameters of a "weak" GARCH process obtained by … contemporaneous aggregation of two independent "strong" GARCH processes. The inconsistency of the Gaussian quasi-likelihood estimator … causes of inconsistency of QMLE in the "weak" GARCH case and compare the performance of QMLE when the innovations are assumed …

Persistent link: https://www.econbiz.de/10010536348

Dynamic Conditional Correlation - A Simple Class of Multivariate GARCH Models

Engle, Robert F - Department of Economics, University of California-San … - 2000

Time varying correlations are often estimated with Multivariate Garch models that are linear in squares and cross … have the flexibility of univariate GARCH models coupled with parsimonious parametric models for the correlations. They are …

Persistent link: https://www.econbiz.de/10010536351

Macroeconomic Announcements and Volatility of Treasury Futures

Engle, Robert F - Department of Economics, University of California-San … - 1998

Utilizing open-close returns, close-close returns and volume data, we examine the reaction of the Treasury futures market to the periodically scheduled announcements of prominent U.S. macroeconomic data. Heterogeneous persistence from scheduled news vs. non-scheduled news is revealed. Strong...

Persistent link: https://www.econbiz.de/10010536375

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …

Persistent link: https://www.econbiz.de/10005078954

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - European Central Bank - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10005816215