Similar Search Results

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates

Li, Fuchun - 2015

The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...

Persistent link: https://www.econbiz.de/10010531070

On the Small Sample Properties of Dickey-Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates

Rodrigues, Paulo M. M.; Serrano, Antonio Rubia - 2004

Testing for unit roots in short-term interest rates plays a key role in the empirical modelling of these series. It is widely assumed that the volatility of interest rates follows some time-varying function which is dependent of the level of the series. This may cause distortions in the...

Persistent link: https://www.econbiz.de/10014070695

Inference for structural impulse responses in SVAR-GARCH models

Bruder, Stefan - 2018

Conditional heteroskedasticity can be exploited to identify the structural vector autoregressions (SVAR) but the implications for inference on structural impulse responses have not been investigated in detail yet. We consider the conditionally heteroskedastic SVAR-GARCH model and propose a...

Persistent link: https://www.econbiz.de/10011817166

A joint model for the term structure of interest rates and realized volatility

Hansen, Anne Lundgaard - In: Journal of financial econometrics 21 (2023) 4, pp. 1196-1227

Persistent link: https://www.econbiz.de/10014391449

Oracle Properties, Bias Correction, and Inference of the Adaptive Lasso for Time Series Extremum Estimators

Audrino, Francesco - 2015

We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...

Persistent link: https://www.econbiz.de/10013034902

Robust inference in models identified via heteroskedasticity

Lewis, Daniel J. - 2018

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances of multiple shocks change close to proportionally....

Persistent link: https://www.econbiz.de/10011952161

Modelling heaped duration data : an application to neonatal mortality

Arulampalam, Wiji; Corradi, Valentina; Gutknecht, Daniel - 2014

nor multiple measurements, but a correctly reported duration and the presence of some flat segments in the baseline hazard … which includes this correctly reported duration point. We establish the asymptotic properties of the maximum likelihood …

Persistent link: https://www.econbiz.de/10010409880

Cross- and auto-correlation effects arising from averaging : the case of US interest rates and equity duration

Hallerbach, Winfried G. - 2000

duration analysis, viz. whenestimating the relationship between interest rates andfinancial market variables like equity or …

Persistent link: https://www.econbiz.de/10011303868

Inferring Equity Durations Around FOMC Surprises : Estimates and Implications

Chen, Zhanhui - 2020

because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

Persistent link: https://www.econbiz.de/10012851441