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Identification and estimation of the environmental Kuznets curve : pairwise differencing to deal with nonlinearity and nonstationarity
Sen, Suphi; Melenberg, Bertrand; Vollebergh, Herman R. J. - 2016
We propose an estimation strategy that accounts for two major problems raised in the empirical literature testing for … problems. Second, we apply nonlinear-nonstationary parametric and non-parametric estimation techniques to estimate the pairwise …
Persistent link: https://www.econbiz.de/10011447524
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
The adoption of the International Monetary Fund (IMF) Structural Adjustment Programme (SAP) in 1986 resulted in the transition from fixed exchange rate regime to floating exchange rate regime in Nigeria. Ever since, the exchange rate of naira vis-à-vis the U.S dollar has attained varying rates...
Persistent link: https://www.econbiz.de/10011477452
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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
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Chapter 8 Forecasting economic variables with nonlinear models
Teräsvirta, Timo - 2006
building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …
Persistent link: https://www.econbiz.de/10014023698
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Are linear models really unuseful to describe business cycle data?
Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017
need to use nonlinear models to describe business cycle dynamic behaviour. Their approach is model (estimation)-free, based …
Persistent link: https://www.econbiz.de/10011596878
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Conditional Threshold Autoregression (CoTAR)
Motegi, Kaiji; Dennis, Jay; Hamori, Shigeyuki - 2022
parameters. The estimation and hypothesis testing of the CoTAR model satisfy desired statistical properties in both large and …
Persistent link: https://www.econbiz.de/10013313908
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Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …
Persistent link: https://www.econbiz.de/10011568279
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Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality
Vatter, Thibault - 2016
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10013007161
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011342578
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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality
Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10011411344