Showing 1 - 10 of 79
Persistent link: https://www.econbiz.de/10005182783
This is the FINAL draft of this paper reporting the results of a long ongoing competition. The paper now is forthcoming in the Journal of Econometrics. This final version replaces the earlier draft that was also in this archive. Interest has been growing in testing for nonlinearity or chaos in...
Persistent link: https://www.econbiz.de/10005407944
We develop an ordinary least squares estimator of the long memory parameter from a fractionally integrated process that is an alternative to the Geweke Porter-Hudak estimator. Using the wavelet transform from a fractionally integrated process, we establish a log-linear relationship between the...
Persistent link: https://www.econbiz.de/10005407950
In this paper we apply compactly supported wavelets to the ARFIMA(p,d,q) long-memory process to develop an alternative maximum likelihood estimator of the differencing parameter, d, that is invariant to the unknown mean and model specification, and to the level of contamination. We show that...
Persistent link: https://www.econbiz.de/10005407968
We rank institutions and researchers based on a standardized page count of their econometric theory publications over the last eleven years (1986-1996) in nine economics and statistics journals. Our ranking criteria differ from those employed by Hall (1987, 1990) and Baltagi (1998). We weight...
Persistent link: https://www.econbiz.de/10005407978
This paper attempts to establish a link between aggregation and index theory, which exists under perfect certainty, but is not known to exist under risk aversion. The paper develops a consumer based demand for money problem where the consumer is risk averse and has a known theoretical monetary...
Persistent link: https://www.econbiz.de/10005412858
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...
Persistent link: https://www.econbiz.de/10011082270
We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our...
Persistent link: https://www.econbiz.de/10010730133
Interest has been growing in testing for nonlinearity or chaos in economic data, but much controversy has arisen about the available results. This paper explores the reasons for these empirical difficulties. We designed and ran a single-blind controlled competition among five highly regarded...
Persistent link: https://www.econbiz.de/10010900173
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature is based on a linear, parametric relationship between expected returns and conditional volatility. This paper models the contemporaneous relationship between market excess...
Persistent link: https://www.econbiz.de/10010942498