Showing 1 - 10 of 8,463
We develop methods of non-parametric estimation for the Expected Shortfall of possibly heavy tailed asset returns that leads to asymptotically standard inference. We use a tail-trimming indicator to dampen extremes negligibly, ensuring standard Gaussian inference, and a higher rate of...
Persistent link: https://www.econbiz.de/10013090751
In this selective review, we first provide some empirical examples that motivate the usefulness of semi-nonparametric techniques in modelling economic and financial time series. We describe popular classes of semi-nonparametric dynamic models and some temporal dependence properties. We then...
Persistent link: https://www.econbiz.de/10013124712
By noting that the Hodrick-Prescott filter can be expressed as the solution to a particular regression problem, we are able to show how to construct confidence bands for the filtered time-series. This procedure requires that the data are stationary. The construction of such confidence bands is...
Persistent link: https://www.econbiz.de/10014170107
In the present paper we confine ourselves to proposing tests for smooth transition nonlinearity in the presence ou outliers. We consider outlier robust estimation techniques to modify the tests developed by Luukkonen et al
Persistent link: https://www.econbiz.de/10014072270
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...
Persistent link: https://www.econbiz.de/10011803123
In this paper we consider model selection for time series with increasing (or decreasing) seasonal variation, where this variation can be described by (seasonal) unit root models with significant deterministic components or by models with less unit roots but with shiftsin seasonal means or trends
Persistent link: https://www.econbiz.de/10014072340
We present asymptotic power-one tests of regression model functional form for heavy tailed time series. Under the null hypothesis of correct specification the model errors must have a finite mean, and otherwise only need to have a fractional moment. If the errors have an infinite variance then...
Persistent link: https://www.econbiz.de/10014178445
An extensive literature in econometrics focuses on finding the exact and approximate first and second moments of the least-squares estimator in the stable first-order linear autoregressive model with normally distributed errors. Recently, Kiviet and Phillips (2005) developed approximate moments...
Persistent link: https://www.econbiz.de/10012998042
The binary-choice regression models such as probit and logit are used to describe the effect of explanatory variables on a binary response variable. Typically estimated by the maximum likelihood method, estimates are very sensitive to deviations from a model, such as heteroscedasticity and data...
Persistent link: https://www.econbiz.de/10012730272
This paper introduces a new class of robust regression estimators. The proposed twostep least weighted squares (2S-LWS) estimator employs data-adaptive weights determined from the empirical distribution, quantile, or density functions of regression residuals obtained from an initial robust fit....
Persistent link: https://www.econbiz.de/10012731904