Showing 1 - 10 of 90
This paper introduces a new family of portmanteau tests for serial correlation. Using the wavelet transform, we decompose the variance of the underlying process into the variance of its low frequency and of its high frequency components and we design a variance ratio test of no serial...
Persistent link: https://www.econbiz.de/10011077599
This paper introduces the concept of risk parameter in conditional volatility models of the form ϵt=σt(θ0)ηt and develops statistical procedures to estimate this parameter. For a given risk measure r, the risk parameter is expressed as a function of the volatility coefficients θ0 and the...
Persistent link: https://www.econbiz.de/10011077602
This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance...
Persistent link: https://www.econbiz.de/10011077603
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce an accurate measure of the conditional variance. We then...
Persistent link: https://www.econbiz.de/10011077615
We propose methods for constructing confidence sets for the timing of a break in level and/or trend that have asymptotically correct coverage for both I(0) and I(1) processes. These are based on inverting a sequence of tests for the break location, evaluated across all possible break dates. We...
Persistent link: https://www.econbiz.de/10011117410
We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I(2) and I(1) observables. The test is also consistent under the alternative of multicointegration, where first differences of...
Persistent link: https://www.econbiz.de/10011117421
We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about...
Persistent link: https://www.econbiz.de/10011209279
This paper derives the asymptotic distribution for a number of rank-based and classical residual specification tests in AR–GARCH type models. We consider tests for the null hypotheses of no linear and quadratic serial residual autocorrelation, residual symmetry, and no structural breaks. We...
Persistent link: https://www.econbiz.de/10011190707
We develop a set of nonparametric rank tests for non-stationary panels based on multivariate variance ratios which use untruncated kernels. As such, the tests do not require the choice of tuning parameters associated with bandwidth or lag length and also do not require choices with respect to...
Persistent link: https://www.econbiz.de/10011190711
A unifying framework for inference is developed in predictive regressions where the predictor has unknown integration properties and may be stationary or nonstationary. Two easily implemented nonparametric F-tests are proposed. The limit distribution of these predictive tests is nuisance...
Persistent link: https://www.econbiz.de/10011190727