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Bayesian simultaneous determination of structural breaks and lag lengths
Hultblad, Brigitta - 2006
The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...
Persistent link: https://www.econbiz.de/10010281431
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Bayesian simultaneous determination of structural breaks and lag lengths
Hultblad, Brigitta; Karlsson, Sune - Economics Institute for Research (SIR), … - 2006
The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the...
Persistent link: https://www.econbiz.de/10005423801
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Efficient estimation of price adjustment coefficients
Lyhagen, Johan - Economics Institute for Research (SIR), … - 1999
The price adjustment coefficient model of Amihud and Mendelson (1987) is shown to be suitable for estimation by the Kalman filter. A techique that, under some commonly used conditions, is asymptotically efficient. By Monte Carlo simulations it is shown that both bias and mean squared error are...
Persistent link: https://www.econbiz.de/10005649164
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Numerical Aspects of Bayesian VAR-modeling
Kadiyala, K. Rao; Karlsson, Sune - Economics Institute for Research (SIR), … - 1994
In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. This paper considers the numerical procedures...
Persistent link: https://www.econbiz.de/10005649366
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Evaluating exponential GARCH models
Malmsten, Hans - 2004
testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …
Persistent link: https://www.econbiz.de/10010281223
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A simple efficient GMM estimator of GARCH models
Skoglund, Jimmy - 2001
This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the … estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In … addition efficiency results are obtained in the general framework of the GARCH(1,1)-M regression model. …
Persistent link: https://www.econbiz.de/10010281314
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An introduction to univariate GARCH models
Teräsvirta, Timo - 2006
mentioned, and various extensions of the standard GARCH model are highlighted. This includes the Exponential GARCH model …
Persistent link: https://www.econbiz.de/10010281357
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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika - 2005
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …
Persistent link: https://www.econbiz.de/10010281442
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Statistical Properties of the Asymmetric Power ARCH Process
He, Changli; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1997
. Its performance is compared with that of standard models of conditional heteroskedasticity such as GARCH. This has …
Persistent link: https://www.econbiz.de/10005423779
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A necessary and sufficient condition for the strict stationarity of a family of GARCH processes
Meitz, Mika - Economics Institute for Research (SIR), … - 2005
We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various … popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary …
Persistent link: https://www.econbiz.de/10005423819