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Periodic autoregressive conditional duration
Aknouche, Abdelhakim; Almohaimeed, Bader; … - 2020
-maximum likelihood estimates (QMLEs), the asymptotic properties of which are examined under general regularity conditions. Our estimation …
Persistent link: https://www.econbiz.de/10015238172
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Periodic autoregressive conditional duration
Aknouche, Abdelhakim; Almohaimeed, Bader; … - 2020
-maximum likelihood estimates (QMLEs), the asymptotic properties of which are examined under general regularity conditions. Our estimation …
Persistent link: https://www.econbiz.de/10015212752
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Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
Gouriéroux, Christian; Monfort, Alain; Zakoian, Jean-Michel - 2018
In a transformation model $\by_t = c [\ba(\bx_t,\bbeta), \bu_t]$, where the errors $\bu_t$ are i.i.d and independent of the explanatory variables $\bx_t$, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but...
Persistent link: https://www.econbiz.de/10015260917
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A review of more than one hundred Pareto-tail index estimators
Fedotenkov, Igor - 2018
This paper reviews more than one hundred Pareto (and equivalent) tail index estimators. It focuses on univariate estimators for nontruncated data. We discuss basic ideas of these estimators and provide their analytical expressions. As samples from heavy-tailed distributions are analysed by...
Persistent link: https://www.econbiz.de/10015262087
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Forecasting Aluminum Prices with Commodity Currencies
Pincheira, Pablo; Hardy, Nicolás - 2019
In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...
Persistent link: https://www.econbiz.de/10015265738
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Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Aknouche, Abdelhakim; Francq, Christian - 2019
General parametric forms are assumed for the conditional mean λ_{t}(θ₀) and variance υ_{t}(ξ₀) of a time series. These conditional moments can for instance be derived from count time series, Autoregressive Conditional Duration (ACD) or Generalized Autoregressive Score (GAS) models. In...
Persistent link: https://www.econbiz.de/10015265940
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The predictability of asset returns in the BRICS countries: a nonparametric approach
Muteba Mwamba, John Weirstrass; Webb, Daniel - 2014
One of the earliest and most enduring questions of financial econometrics is the predictability of financial asset prices. In this article, stock market data from Brazil, Russia, India, China and South Africa are used to assess the out-of-sample performance of the ARMA(1,1)-GARCH(1,1) and...
Persistent link: https://www.econbiz.de/10015252789
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The predictability of asset returns in the BRICS countries: a nonparametric approach
Muteba Mwamba, John Weirstrass; Webb, Daniel - 2014
One of the earliest and most enduring questions of financial econometrics is the predictability of financial asset prices. In this article, stock market data from Brazil, Russia, India, China and South Africa are used to assess the out-of-sample performance of the ARMA(1,1)-GARCH(1,1) and...
Persistent link: https://www.econbiz.de/10015252824
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Ordinal-response models for irregularly spaced transactions: A forecasting exercise
Dimitrakopoulos, Stefanos; Tsionas, Mike G.; Aknouche, … - 2020
We propose a new model for transaction data that accounts jointly for the time duration between transactions and for the discreteness of the intraday stock price changes. Duration is assumed to follow a stochastic conditional duration model, while price discreteness is captured by an...
Persistent link: https://www.econbiz.de/10015220557
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The Mean Squared Prediction Error Paradox: A summary
Pincheira, Pablo; Hardy, Nicolas - 2020
display the lowest correlation with the target variable. Given that violations of efficiency are usual in the forecasting … literature, this opposite behavior in terms of accuracy and correlation with the target variable may be a fairly common empirical … finding that we label here as "the MSPE Paradox." We characterize "Paradox zones" in terms of differences in correlation with …
Persistent link: https://www.econbiz.de/10015229363