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Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian
Andersen, Torben G. - 2000
It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...
Persistent link: https://www.econbiz.de/10012471288
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D. - 1994
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10012474328
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Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 1997
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …
Persistent link: https://www.econbiz.de/10012472795
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A necessary moment condition for the fractional functional central limit theorem
Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2010
We discuss the moment condition for the fractional functional central limit theorem (FCLT) for partial sums of x_{t}=Delta^{-d}u_{t}, where d in (-1/2,1/2) is the fractional integration parameter and u_{t} is weakly dependent. The classical condition is existence of qmax(2,(d+1/2)^{-1}) moments...
Persistent link: https://www.econbiz.de/10008680679
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Discriminating between fractional integration and spurious long memory
Haldrup, Niels; Kruse, Robinson - School of Economics and Management, University of Aarhus - 2014
Fractionally integrated processes have become a standard class of models to describe the long memory features of economic and financial time series data. However, it has been demonstrated in numerous studies that structural break processes and non-linear features can often be confused as being...
Persistent link: https://www.econbiz.de/10010851300
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Asymptotics for the conditional-sum-of-squares estimator in multivariate fractional time series models
Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2014
This paper proves consistency and asymptotic normality for the conditional-sum-of-squares estimator, which is equivalent to the conditional maximum likelihood estimator, in multivariate fractional time series models. The model is parametric and quite general, and, in particular, encompasses the...
Persistent link: https://www.econbiz.de/10010935035
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Local Whittle Analysis of Stationary Fractional Cointegration
Nielsen, Morten Oerregaard - School of Economics and Management, University of Aarhus
application to financial volatility series is offered. …
Persistent link: https://www.econbiz.de/10005787527
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Local polynomial Whittle estimation covering non-stationary fractional processes
Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008
This paper extends the local polynomial Whittle estimator of Andrews & Sun (2004) to fractionally integrated processes covering stationary and non-stationary regions. We utilize the notion of the extended discrete Fourier transform and periodogram to extend the local polynomial Whittle estimator...
Persistent link: https://www.econbiz.de/10005440065
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Estimation of Fractional Integration in the Presence of Data Noise
Haldrup, Niels; Nielsen, Morten Oe. - School of Economics and Management, University of Aarhus
The paper presents a comparative study on the performance of commonly used estimators of the fractional order of integration when data is contaminated by noise. In particular, measurement errors, additive outliers, temporary change outliers, and structural change outliers are addressed. It...
Persistent link: https://www.econbiz.de/10005198828
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …
Persistent link: https://www.econbiz.de/10012470566