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Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to …

Persistent link: https://www.econbiz.de/10010461231

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … the estimation and prediction of the spread-the deviation from the equilibrium relationship-which leads to better results …

Persistent link: https://www.econbiz.de/10011505854

Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847

Comparison of error correction models and first-difference models in CCAR deposits modeling

Guo, Zi-Yi - 2017 - This version: March 2017

show that ECMs have more robust performance than first-difference models in terms of coefficients estimation and out …

Persistent link: https://www.econbiz.de/10011724257

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long …

Persistent link: https://www.econbiz.de/10015200188

Outlier Robust Cointegration Analysis

Franses, Philip Hans; Lucas, André - 1998

breaks. This paper uses outlier robust estimation techniques to reduce the impact of these events on cointegration analysis …

Persistent link: https://www.econbiz.de/10014073583

The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper

Schreiber, Sven - 2014 - This version: February 2014

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent …

Persistent link: https://www.econbiz.de/10010489880

Unit Root and Cointegration Tests for Cross-Sectionally Correlated Panels. Estimating Regional Production Functions

Basile, Roberto; Costantini, Mauro; Destefanis, Sergio - 2006

This paper employs recently developed non stationary panel methodologies that assume some cross-section dependence to estimate the production function for Italian regions in the industrial sector over the period 1970-1998. The analysis consists in three steps. First, unit root tests for...

Persistent link: https://www.econbiz.de/10014055387