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Conditional Inference in Cointegrating Vector Autoregressive Models

Mavroeidis, Sophocles; Garderen, Kees Jan van - Econometric Society - 2004

A Vector Autoregressive model (VAR) with normally distributed innovations is a Curved Exponential Model (CEM). Cointegration imposes further curvature on the model and this means that in addition to the important reasons for conditioning in non-stationary time series as given by Johansen (1995,...

Persistent link: https://www.econbiz.de/10005063620

Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model

Milunovich, George - Econometric Society - 2004

A new model is developed that augments a structural VAR specification with a GARCH covariance matrix. The model is utilised to study time series dependencies between three size-sorted portfolios from the Australian Stock Exchange. Even after accounting for contemporaneous correlations the...

Persistent link: https://www.econbiz.de/10005063659

Comovements in Trading activity: A Multivariate Autoregressive Model of Time Series Count Data Using Copulas

Rengifo, Erick; Heinen, Andresas - Econometric Society - 2004

This paper introduces the Multivariate Autoregressive Conditional Poisson model to deal with issues of discreteness, overdispersion and both auto- and cross-correlation, arising with multivariate counts. We model counts with a double Poisson and assume that conditionally on past observations the...

Persistent link: https://www.econbiz.de/10005702735

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature

Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004

We introduce continuous-time models that capture the salient features of the short-term interest rate and remain tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi-factor settings with latent variables that are readily...

Persistent link: https://www.econbiz.de/10005063579

Modeling Yield-Factor Volatility

Smith, Daniel R.; Parignon, Christophe - Econometric Society - 2004

The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the yield curve. Despite their wide application in financial economics, very little is known on the time-series properties of the yield-factor volatilities. We examine three common...

Persistent link: https://www.econbiz.de/10005702565

Testing Asset Pricing Model with Coskweness

Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004

In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...

Persistent link: https://www.econbiz.de/10005328981

Learning the CAPM through Bubbles

Kedar-Levy, Haim - Econometric Society - 2004

Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, â€œpink-sheetâ€ valuations. When the technology shifts phase to generate …

Persistent link: https://www.econbiz.de/10005702759

Econometría en Costa Rica : trabajos presentados en la VIII Reunión Latinoamericana de la Sociedad Econométrica, celebrada en Costa Rica, del 2 al 5 de agosto de 1988

Vargas, Juan Rafael (contributor); … - 1996 - 1. ed

Persistent link: https://www.econbiz.de/10000947003

Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics

Econometric Society - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage]; … - 1.1933 -

Persistent link: https://www.econbiz.de/10000349725

Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics

Econometric Society - Chichester : Wiley-Blackwell; -2008: Oxford [u.a.] : …; … - 1.1933 -

Persistent link: https://www.econbiz.de/10001374892