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Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics 3 (2015) 2, pp. 289-316

Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …

Persistent link: https://www.econbiz.de/10011755282

Right on target, or is it? The role of distributional shape in variance targeting

Anatolyev, Stanislav A.; Khrapov, Stanislav - In: Econometrics 3 (2015) 3, pp. 610-632

Estimation of GARCH models can be simplified by augmenting quasi-maximum likelihood (QML) estimation with variance … volatility equation and corresponding value-at-risk predictions. We find that most GARCH coefficients and associated predictions …

Persistent link: https://www.econbiz.de/10011755296

Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models

Hillebrand, Eric - EconWPA - 2003

. After showing that the expectation of the sum of the estimates of the autoregressive coefficients of a GARCH(1,1) model is …

Persistent link: https://www.econbiz.de/10005119104

Asymmetry and leverage in conditional volatility models

McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150

heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and … Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991). The underlying stochastic specification to … obtain GARCH was demonstrated by Tsay (1987), and that of EGARCH was shown recently in McAleer and Hafner (2014). These …

Persistent link: https://www.econbiz.de/10010421299

A one line derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …

Persistent link: https://www.econbiz.de/10010421302

Credible Granger-causality inference with modest sample lengths: A cross-sample validation approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit can be a poor guide to actual forecasting effectiveness. However, post-sample model testing requires an often-consequential a priori partitioning of the data into an "in-sample"...

Persistent link: https://www.econbiz.de/10010421306

Do seasonal adjustments induce noncausal dynamics in inflation rates?

Hecq, Alain; Telg, Sean; Lieb, Lenard - In: Econometrics 5 (2017) 4, pp. 1-22

This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already...

Persistent link: https://www.econbiz.de/10011995196

Jackknife bias reduction in the presence of a near-unit root

Chambers, Marcus J.; Kyriacou, Maria - In: Econometrics 6 (2018) 1, pp. 1-28

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife estimator are derived, and the joint moment...

Persistent link: https://www.econbiz.de/10011995212

An overview of modified semiparametric memory estimation methods

Busch, Marie; Sibbertsen, Philipp - In: Econometrics 6 (2018) 1, pp. 1-21

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...

Persistent link: https://www.econbiz.de/10011995214

Filters, waves and spectra

Pollock, D. Stephen G. - In: Econometrics 6 (2018) 3, pp. 1-33

Econometric analysis requires filtering techniques that are adapted to cater to data sequences that are short and that have strong trends. Whereas the economists have tended to conduct their analyses in the time domain, the engineers have emphasised the frequency domain. This paper places its...

Persistent link: https://www.econbiz.de/10011995226