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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

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …

Persistent link: https://www.econbiz.de/10011476095

Importance sampling from posterior distributions using copula-like approximations

Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57

Persistent link: https://www.econbiz.de/10012303370

Identification-robust estimation and testing of the zero-beta CAPM

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924

Persistent link: https://www.econbiz.de/10010204244

Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …

Persistent link: https://www.econbiz.de/10011380176

New volatility models under a Bayesian perspective : a case study

Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197

Persistent link: https://www.econbiz.de/10011449738

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with hetereogenous dependent errors

Coudin, Elise; Dufour, Jean-Marie - 2017

Persistent link: https://www.econbiz.de/10011610097

Finite-sample generalized confidence distributions and sign-based robust estimators in median regressions with heterogeneous dependent errors

Coudin, Elise; Dufour, Jean-Marie - In: Econometric reviews 39 (2020) 8, pp. 763-791

Persistent link: https://www.econbiz.de/10012295580

Methods for computing numerical standard errors : review and application to value-at-risk estimation

Ardia, David; Bluteau, Keven; Hoogerheide, Lennart - In: Journal of time series econometrics 10 (2018) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10011898020

Empirical analysis of bitcoin prices using threshold time series models

Guzman, Rodolfo Angelo Magtanggol III de; So, Mike Ka-pui - In: Annals of financial economics 13 (2018) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10011984103