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On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations

Wang, Yongning; Tsay, Ruey S. - In: Econometrics 1 (2013) 1, pp. 1-31

model checking. A residual-based bootstrap method is provided and demonstrated as an effective way to approximate the …

Persistent link: https://www.econbiz.de/10010674374

Parametric inference for index functionals

Guerrier, Stéphane; Orso, Samuel; Victoria-Feser, Maria-Pia - In: Econometrics 6 (2018) 2, pp. 1-11

bootstrap, in the case of inequality indices. To estimate the parameters of the assumed parametric data generating distribution … inequality index. Its primary advantage is that the scale parameter does not need to be estimated to perform parametric bootstrap … suggest that this feature provides an advantage over the parametric bootstrap using the maximum likelihood estimator. We also …

Persistent link: https://www.econbiz.de/10011995222

A Multivariate GARCH Model with Time-Varying Correlations

Tse, Y.K.; Tsui, Albert K.C. - EconWPA - 2000

In this paper we propose a new multivariate GARCH model with time- varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the...

Persistent link: https://www.econbiz.de/10005062567

A Multivariate GARCH Model with Time-Varying correlations

Tse, Y. K.; Tsui, Albert K. C. - EconWPA - 2000

Persistent link: https://www.econbiz.de/10005119111

Unit root tests: The role of the univariate models implied by multivariate time series

Cappuccio, Nunzio; Lubian, Diego - In: Econometrics 4 (2016) 2, pp. 1-11

, considering several popular unit root tests and the ADF sieve bootstrap unit tests, we find that, besides the well known size …

Persistent link: https://www.econbiz.de/10011755326

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011755370

the Multi-State Markov Switching Model

Otranto, Edoardo - EconWPA - 2003

In many real phenomena the behaviour of a certain variable, subjected to different regimes, depends on the state of other variables or the same variable observed in other subjects, so the knowledge of the state of the latter could be important to forecast the state of the former. In this paper a...

Persistent link: https://www.econbiz.de/10005062565

Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2005

In this paper, we develop a parametric test procedure for multiple horizon "Granger" causality and apply the procedure to the well established problem of determining causal patterns in aggregate monthly U.S. money and output. As opposed to most papers in the parametric causality literature, we...

Persistent link: https://www.econbiz.de/10005556389

Causation Delays and Causal Neutralization for General Horizons: The Money-Output Relationship Revisited

Hill, Jonathan B. - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005119144

The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations

Leeb, Hannes; Poetscher, Benedikt M. - EconWPA - 2000

In Poetscher [Econometric Theory (1991), 7, pp 163 - 185] the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model, has been derived. Limitations of these results are (i) that they do not provide information on the...

Persistent link: https://www.econbiz.de/10005119210