Narrow search
Showing 1 - 3 of 3
Cover Image
Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014
. Moreover, spot and futures price data tend to display clear patterns of time-varying volatility which also has the potential to …
Persistent link: https://www.econbiz.de/10010886799
Cover Image
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - School of Economics and Management, University of Aarhus - 2015
We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...
Persistent link: https://www.econbiz.de/10011170253
Cover Image
Testing for Unit Roots in the Presence of a Possible Break in Trend and Non-Stationary Volatility
Cavaliere, Giuseppe; Harvey, David I.; Leybourne, Stephen J. - School of Economics and Management, University of Aarhus - 2008
In this paper we analyse the impact of non-stationary volatility on the recently developed unit root tests which allow … general form, including, for example, the case of a single break in the volatility of the innovations which may or may not … root statistics based around this estimator are not pivotal in the presence of non-stationary volatility. Associated Monte …
Persistent link: https://www.econbiz.de/10005114134