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Are frontier stock markets more inefficient than emerging stock markets?

Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284

Persistent link: https://www.econbiz.de/10010412983

Long memory analysis : an empirical investigation

Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - In: International journal of economics and financial issues … 4 (2014) 1, pp. 16-26

Persistent link: https://www.econbiz.de/10010519739

Structural Changes in Inflation Dynamics : Multiple Breaks at Different Dates for Different Parameters

Eo, Yunjong - 2015

I make inferences about complicated patterns of structural breaks in inflation dynamics. I extend Chib's (1998 … breaks are modeled as abrupt changes to identify potential regime shifts in economic structure such as a long-run inflation … target, monetary policy, and price-setting behavior. I consider postwar quarterly U.S. inflation rates based on the CPI and …

Persistent link: https://www.econbiz.de/10013013876

Asymptotic properties of the estimator of the long-run coefficient in a dynamic model with integrated regressors and serially correlated errors

Maekawa, Koichi (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

In this paper we examine the asymptotic properties of the estimator of the long-run coefficient (LRC) in a dynamic regression model with integrated regressors and serially correlated errors. We show that the OLS estimators of the regression coefficients are inconsistent but the OLS-based...

Persistent link: https://www.econbiz.de/10001644304

Minimum Distance Estimation of Possibly Non-Invertible Moving Average Models

Gospodinov, Nikolaj; Ng, Serena - 2015

This paper considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the...

Persistent link: https://www.econbiz.de/10014048920

Does Seasonal Adjustment Change Inference from Markov Switching Models?

Franses, Philip Hans - 1998

In this paper we show that the answer to the question in the title is affirmative, i.e. seasonal adjustment increases the probabilities in a Markov switching regime model of staying in the same regime. This phenomenon is illustrated through Monte Carlo Simulations and with two examples...

Persistent link: https://www.econbiz.de/10014052376

Efficient Bayesian Estimation and Combination of GARCH-Type Models

Ardia, David; Hoogerheide, Lennart F. - 2017

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to...

Persistent link: https://www.econbiz.de/10014198683

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Andersen, Torben; Dobrev, Dobrislav; Schaumburg, Ernst - 2010

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10014200896

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - 2019

This paper presents the R package bayesGARCH which provides functions for the Bayesian estimation of the parsimonious but effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids the time-consuming and difficult task of tuning a sampling...

Persistent link: https://www.econbiz.de/10014203852

Estimation and Inference for Exponential Smooth Transition Nonlinear Volatility Models

Chen, Cathy W. S.; Gerlach, Richard H.; Choy, Boris; … - 2009

A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling...

Persistent link: https://www.econbiz.de/10014204112