Showing 1 - 10 of 1,609
Persistent link: https://www.econbiz.de/10010254990
We propose a set of algorithms for testing the ergodicity of empirical time series, without reliance on a specific parametric framework. It is shown that the resulting test asymptotically obtains the correct size for stationary and nonstationary processes, and maximal power against non-ergodic...
Persistent link: https://www.econbiz.de/10014184182
We propose two nonparametric transition density-based speciÞcation tests for continuous-time diffusion models. In contrast to marginal density as used in the literature, transition density can capture the full dynamics of a diffusion process, and in particular, can distinguish processes with...
Persistent link: https://www.econbiz.de/10009621413
Multivariate continuous-time models have been playing important roles in finance and economics. We develop an omnibus specification test for multivariate continuous-time models using the conditional characteristic function, which often has a convenient closed form or can be accurately...
Persistent link: https://www.econbiz.de/10012735887
The current large empirical literature on interest rate modeling typically focuses on the in-sample performance and ignores the out-of-sample performance of existing models. We fill the gap in this literature by providing probably the first comprehensive empirical study (to our knowledge) of the...
Persistent link: https://www.econbiz.de/10012740870
We propose two nonparametric specification tests for continuous-time models based on transition density, which unlike the marginal density used in the literature, can capture the full dynamics of a continuous-time process. To improve the finite sample performance of nonparametric methods, we...
Persistent link: https://www.econbiz.de/10012741394
Cramer's Large Deviation Theorem is used to formalize a modern time series variant of the quot;Safety-Firstquot;, loss aversion criterion, providing a behavioral foundation for a new portfolio performance index. When returns are normally distributed, the performance index is proportional to the...
Persistent link: https://www.econbiz.de/10012744128
Numerous studies have shown that the simple random walk model outperforms all structural and time series models in forecasting the conditional mean of exchange rate changes. However, in many important applications, such as risk management, forecasts of the probability distribution of exchange...
Persistent link: https://www.econbiz.de/10012714909
After more than a decade of existence, crypto-currencies may now be considered an important class of assets presenting some unique appealing characteristics but also sharing some features with real financial assets. This paper provides a comprehensive statistical analysis of the six most...
Persistent link: https://www.econbiz.de/10012386865
We characterize the dynamics of the U.S. short-term interest rate using a Markov regime switching model. Using a test developed by Garcia (1998), we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it...
Persistent link: https://www.econbiz.de/10012740869