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A functional approach to test trending volatility

Guerrero Escobar, Santiago; Hernández del Valle, Gerardo; … - 2016

volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …

Persistent link: https://www.econbiz.de/10011456514

Investigating seasonality, policy intervention and forecasting in the Indian gold futures market : a comparison based on modeling non-constant variance using two different methods

Nargunam, Rupel; Wei, William W. S.; Anuradha, N. - In: Financial innovation : FIN 7 (2021), pp. 1-15

This study focuses on the Indian gold futures market where primary participants hold sentimental value for the underlying asset and are globally ranked number two in terms of the largest private holdings in the physical form. The trade of gold futures relates to seasons, festivity, and...

Persistent link: https://www.econbiz.de/10012617371

Simultaneously modelling conditional heteroskedasticity and scale change

Feng, Yuanhua - 2002

This paper proposes a semiparametric approach by introducing a smooth scale function into the standard GARCH model so that conditional heteroskedasticity and scale change in a financial time series can be modelled simultaneously. An estimation procedure combining kernel estimation of the scale...

Persistent link: https://www.econbiz.de/10011544555

Semiparametric tests for the order of integration in the possible presence of level breaks

Iacone, Fabrizio; Nielsen, Morten Ørregaard; Taylor, Robert - 2020

Lobato and Robinson (1998) develop semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for...

Persistent link: https://www.econbiz.de/10012243070

Testing jointly for structural changes in the error variance and coefficients of a linear regression model

Perron, Pierre; Yamamoto, Yohei; Zhou, Jing - In: Quantitative economics : QE ; journal of the … 11 (2020) 3, pp. 1019-1057

We provide a comprehensive treatment for the problem of testing jointly for structural changes in both the regression coefficients and the variance of the errors in a single equation system involving stationary regressors. Our framework is quite general in that we allow for general mixing‐type...

Persistent link: https://www.econbiz.de/10012315798

To infinity and beyond : efficient computation of ARCH(\infty) models

Nielsen, Morten Ørregaard; Noël, Antoine - 2020

This paper provides an exact algorithm for efficient computation of the time series of conditional variances, and hence the likelihood function, of models that have an ARCH(∞) representation. This class of models includes, e.g., the fractionally integrated generalized autoregressive...

Persistent link: https://www.econbiz.de/10012183643

The Demand for Broad Money in Norway, 1969-1993

Eitrheim, Oyvind - 2010

Cointegration analysis is applied to investigate the long run relationships between money, prices, and wages in Norway. Broad money is determined endogenously, and monetary balances were exposed to large shocks during the period of financial deregulation in the midst of the 1980s. In the long...

Persistent link: https://www.econbiz.de/10014215622

Using the Bootstrap as an Aid in Choosing the Approximate Representation for Vector Time Series - Financial and Economic Forecasting (Chapter 6)

Penm, Jack H.W; Penm, Jammie H.; Terrell, R. Deane - 2003

In this chapter, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximant's forecasting...

Persistent link: https://www.econbiz.de/10014098653

Simulation, Estimation and Selection of Mixed Causal-Noncausal Autoregressive Models : The MARX Package

Hecq, Alain - 2017

This paper presents the MARX package for the analysis of mixed causal-noncausal autoregressive processes with possibly exogenous regressors. The distinctive feature of MARX models is that they abandon the Gaussianity assumption on the error term.This deviation from the Box-Jenkins approach...

Persistent link: https://www.econbiz.de/10012950177

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

Eo, Yunjong - 2015

, the residual variance for both inflation measures switched from a low volatility regime to a high volatility regime in the … early 1970s, but it returned to another low volatility regime at different dates: the early 1980s for GDP deflator inflation …, while GDP deflator inflation has remained less volatile. These volatility shifts are confirmed by the empirical results …

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