Similar Search Results

On tests for linearity against STAR models with deterministic trends

Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - School of Economics and Management, University of Aarhus - 2012

Linearity testing against smooth transition autoregressive (STAR) models when deterministic trends are potentially present in the data is considered in this paper. As opposed to recently reported results in Zhang (2012), we show that linearity tests against STAR models lead to useful results in...

Persistent link: https://www.econbiz.de/10010851237

Option Pricing using Realized Volatility

Stentoft, Lars - School of Economics and Management, University of Aarhus - 2008

In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...

Persistent link: https://www.econbiz.de/10005440036

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Parameterizing unconditional skewness in models for financial time series

He, Changli; Silvennoinen, Annastiina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2008

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate...

Persistent link: https://www.econbiz.de/10005440080

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

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …

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

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2007

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

Persistent link: https://www.econbiz.de/10005034729

On IGARCH and convergence of the QMLE for misspecified GARCH models

Jensen, Anders Tolver; Lange, Theis - School of Economics and Management, University of Aarhus - 2009

We address the IGARCH puzzle by which we understand the fact that a GARCH(1,1) model fitted by quasi maximum likelihood … data is generated by certain types of continuous time stochastic volatility models, but fitted to a GARCH(1,1) model one …

Persistent link: https://www.econbiz.de/10005198859

Marginal Likelihood for Markov-switching and Change-point Garch Models

Luc, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - School of Economics and Management, University of Aarhus - 2011

GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …

Persistent link: https://www.econbiz.de/10009371456

Realized GARCH: A Complete Model of Returns and Realized Measures of Volatility

Hansen, Peter Reinhard; Zhuo (Albert) Huang; Shek, … - School of Economics and Management, University of Aarhus

GARCH models have been successful in modeling financial returns. Still, much is to be gained by incorporating a … and realized measures of volatility. The Realized GARCH framework nests most GARCH models as special cases and is, in many … ways, a natural extension of standard GARCH models. We pay special attention to linear and log-linear Realized GARCH …

Persistent link: https://www.econbiz.de/10008836606

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