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Testing for parameter instability in competing modeling frameworks

Calvori, Francesco; Creal, Drew; Koopman, Siem Jan; … - 2014

We develop a new parameter stability test against the alternative of observation driven generalized autoregressive score dynamics. The new test generalizes the ARCH-LM test of Engle (1982) to settings beyond time-varying volatility and exploits any autocorrelation in the likelihood scores under...

Persistent link: https://www.econbiz.de/10010229896

Testing for Spurious Long Memory : A Monte Carlo Comparison with an Application to Credit Default Swaps

Leccadito, Arturo - 2010

A common feature of financial time series is their strong persistence. Yet, long memory may just be the spurious effect of either structural breaks or slow switching regimes. So far, five testing procedures have been proposed to distinguish between true and spurious long memory. The tests are...

Persistent link: https://www.econbiz.de/10013146725

Has the relationship between market and model CDS price changed during the EMU debt crisis?

Buzková, Petra - 2014

Basic purpose of a credit default swap (CDS) is to protect its buyer against a default of a reference entity. During the ongoing EMU debt crisis this purpose was questioned when Greek default was postponed continuously and actions of European public authorities gave rise to speculations that...

Persistent link: https://www.econbiz.de/10010358358

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502

On the Finite Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series

Berkowitz, Jeremy; Birgean, Ionel; Kilian, Lutz - 1999

In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit...

Persistent link: https://www.econbiz.de/10014198030

Testing Linearity Against Nonlinear Moving Average Models

Brannas, Kurt; Gooijer, Jan G. de; Teräsvirta, Timo - 1998

Lagrange multiplier (LM) test statistics are derived for testing a linear moving average model against an asymmetric moving average model and an LM type test for testing the same model against an additive smooth transition moving average model. The latter model is introduced in the paper. The...

Persistent link: https://www.econbiz.de/10014080852

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

American Option Pricing Using Simulation : An Introduction with an Application to the GARCH Option Pricing Model

Stentoft, Lars - 2019

It contains an introduction to how simulation methods can be used to price American options and a discussion of various …

Persistent link: https://www.econbiz.de/10012905711

Structural Change Tests for Simulated Method of Moments

Guay, Alain; Ghysels, Eric - 2012

Simulation-based estimation methods have become more widely used in recent years. We propose a set of tests for … simulation. We derive the asymptotic distributions of various tests. We show that the number of simulations does not affect the … sample size and power reveals, however, that simulation uncertainty does affect the properties of tests. Nevertheless, even a …

Persistent link: https://www.econbiz.de/10014026123

Semiparametric Bayesian Inference for Time Series with Mixed Spectra

Carter, Chris K.; Kohn, Robert - 2008

A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of...

Persistent link: https://www.econbiz.de/10014029563