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Consistent Model Specification Tests Against Smooth Transition Alternatives

Hill, Jonathan B. - EconWPA - 2004

In this paper we develop tests of functional form that are consistent against a class of nonlinear "smooth transition" models of the conditional mean. Our method is an extension of the consistent model specification tests developed by Bierens (1990), de Jong (1996) and Bierens and Ploberger...

Persistent link: https://www.econbiz.de/10005556316

The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications

Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2005

stochastic volatility (STARTZ-SV) or as Student-t with GARCH volatility (STARTZ-TGARCH). Using the dynamics of Norwegian krone …

Persistent link: https://www.econbiz.de/10005119119

Comovement in international equity markets: A sectoral view

Berben, Robert-Paul; Jansen, W. Jos - EconWPA - 2003

industry level. We develop a novel bivariate GARCH model for equity returns with a smoothly time- varying correlation and then …

Persistent link: https://www.econbiz.de/10005134692

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

Using a newly developed dataset of daily, value-weighted market returns we construct and analyze the monthly realized volatility of the Athens Stock Exchange (A.S.E.) from 1985 to 2003. Our analysis focuses on the distributional and time series properties of the realized volatility series and on...

Persistent link: https://www.econbiz.de/10005413171

Realized Volatility and Asymmetries in the A.S.E. Returns

Thomakos, Dimitrios D.; Koubouros, Michail S. - EconWPA - 2005

Persistent link: https://www.econbiz.de/10005077019

Surprise Volume and Heteroskedasticity in Equity Market Returns

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

. Assuming weakly exogenous volume, we extend the Lamoureux and Lastrapes (1990) model by an asymmetric GARCH in …

Persistent link: https://www.econbiz.de/10005556382

Measuring Tail Thickness under GARCH and an Application to Extreme Exchange Rate Changes

Wagner, Niklas; Marsh, Terry A. - EconWPA - 2004

properties of adaptive tail index estimators under the class of student-t marginal distribution functions including GARCH and …

Persistent link: https://www.econbiz.de/10005407899

One-Factor-GARCH Models for German Stocks - Estimation and Forecasting -

Kaiser, Thomas - EconWPA - 1996

factor models with GARCH dynamics (GARCH(1,1)-M, IGARCH(1,1)-M, Nonlinear Asymmetric GARCH(1,1)-M and Glosten …-Jagannathan-Runkle GARCH(1,1)-M) and three different distributions for the disturbances (Normal, Student's t and Generalized Error Distribution … compared with forecasts based on individual GARCH(1,1)-M models, static factor models, naive, random walk and exponential …

Persistent link: https://www.econbiz.de/10005407963

Methodology and Implementation of Value-at-Risk Measures in Emerging Fixed-Income Markets with Infrequent Trading.

Cortazar, Gonzalo; Bernales, Alejandro; Beuermann, Diether - EconWPA - 2005

This paper deals with the issue of calculating daily Value-at-Risk (VaR) measures within an environment of thin trading. Our approach focuses on fixed income portfolios with low frequency of transactions in which the missing data problem makes VaR measures difficult to calculate. We propose and...

Persistent link: https://www.econbiz.de/10005413068

Correlation Dynamics in European Equity Markets

Kearney, Colm; Poti, Valerio - EconWPA - 2005

We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest eurozone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies,including estimation of the...

Persistent link: https://www.econbiz.de/10005413082