Similar Search Results

Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are developed given a preliminary … the nonparametric estimators are established. We develop mis- specification tests of parametric diffusion models based on … the nonparametric estimators, and derive the asymptotic properties of the tests. We also propose a Markov Bootstrap method …

Persistent link: https://www.econbiz.de/10005787561

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2007

A kernel weighted version of the standard realised integrated volatility es- timator is proposed. By different choices of the kernel and bandwidth, the measure allows us to focus on specific characteristics of the volatility process. In particular, as the bandwidth vanishes, an estimator of the...

Persistent link: https://www.econbiz.de/10005198857

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2010

Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local...

Persistent link: https://www.econbiz.de/10008462024

Nonparametric Detection and Estimation of Structural Change

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011

We propose a nonparametric approach to the estimation and testing of structural change in time series regression models …. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and …

Persistent link: https://www.econbiz.de/10009003125

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Frederiksen, Per; Nielsen, Frank S. - School of Economics and Management, University of Aarhus - 2008

In this paper, we propose new tests for long memory in stationary and nonstationary time series possibly perturbed by short-run noise which may be serially correlated. The tests are all based on semiparametric estimators and exploit the self-similarity property of long memory processes. We o¤er...

Persistent link: https://www.econbiz.de/10005440038

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

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

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...

Persistent link: https://www.econbiz.de/10010886799

The role of initial values in nonstationary fractional time series models

Johansen, Søren; Nielsen, Morten Ørregaard - School of Economics and Management, University of Aarhus - 2012

We consider the nonstationary fractional model $\Delta^{d}X_{t}=\varepsilon _{t}$ with $\varepsilon_{t}$ i.i.d.$(0,\sigma^{2})$ and $d1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of $d$ conditional on initial values, and we...

Persistent link: https://www.econbiz.de/10010851220

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012

This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE?s) of the GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...

Persistent link: https://www.econbiz.de/10010851299

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