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An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …

Persistent link: https://www.econbiz.de/10011398115

Joint Bayesian Inference About Impulse Responses in VAR Models

Inoue, Atsushi; Kilian, Lutz - 2020

Structural VAR models are routinely estimated by Bayesian methods. Several recent studies have voiced concerns about the common use of posterior median (or mean) response functions in applied VAR analysis. In this paper, we show that these response functions can be misleading because in...

Persistent link: https://www.econbiz.de/10014048816

Non-Stationary and No Moments Asymptotics of the Arch Model

Rahbek, Anders; Jensen, Soren Tolver - 2002

We establish consistency and asymptotic normality of the quasi-maximum likelihood estimator in the linear ARCH model. Contrary to existing literature we allow the parameters to be in the region where no stationary version of the process exists

Persistent link: https://www.econbiz.de/10014104835

Modeling Time Series with Both Permanent and Transient Components Using the Partially Autoregressive Model

Clegg, Matthew - 2015

A time series model is discussed that incorporates both permanent and transient effects. Estimation techniques are given, and the power of the likelihood ratio test is assessed. When applied to the monthly price/earnings series of the S&P 500 over the period 1871-2013, both permanent and...

Persistent link: https://www.econbiz.de/10013029325

Chapter 3 Forecast Evaluation

West, Kenneth D. - 2006

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

Persistent link: https://www.econbiz.de/10014023703

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic relationships within a longitudinal data setting. The discussion surveys approaches for characterizing the micro dynamics of continuous dependent variables both over time and across...

Persistent link: https://www.econbiz.de/10014024953

A Difference Estimator for Testing Equality of Variances for Paired Time Series

Cooil, Bruce; Froeb, Luke M. - 2012

A difference estimator of the standard error for the difference in variances of paired time series is proposed. The difference estimator uses the independence of periodogram ordinates to remove nuisance parameters. The difference estimator is easier to compute than one centered on the smoothed...

Persistent link: https://www.econbiz.de/10014026201

Data-Based Priors for Vector Autoregressions with Drifting Coefficients

Korobilis, Dimitris - 2014

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...

Persistent link: https://www.econbiz.de/10013059299

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Persistent link: https://www.econbiz.de/10010484411

Biørn, Erik - 2014 - This version December 2014

The measurement error problem in linear time series regression, with focus on the impact of error memory, modeled as nite-order MA processes, is considered. Three prototype models, two bivariate and one univariate ARMA, and ways of handling the problem by using instrumental variables (IVs) are...

Persistent link: https://www.econbiz.de/10010459136