Similar Search Results

Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849

Persistent link: https://www.econbiz.de/10012040413

The correct regularity condition and interpretation of asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. … mathematical regularity properties, including invertibility, to determine the likelihood function for estimation, and the …

Persistent link: https://www.econbiz.de/10011688332

What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model

McAleer, Michael - In: Journal of risk and financial management : JRFM 12 (2019) 2/61, pp. 1-9

models are not straightforward (or even possible) to translate in terms of the algebraic existence, underlying stochastic …

Persistent link: https://www.econbiz.de/10012022209

A simple test for causality in volatility

Chang, Chia-Lin; McAleer, Michael - 2016

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns, was the portmanteau statistic for non-causality in variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011556246

A simple test for causality in volatility

Chang, Chia-ling; McAleer, Michael - In: Econometrics : open access journal 5 (2017) 1, pp. 1-5

An early development in testing for causality (technically, Granger non-causality) in the conditional variance (or volatility) associated with financial returns was the portmanteau statistic for non-causality in the variance of Cheng and Ng (1996). A subsequent development was the Lagrange...

Persistent link: https://www.econbiz.de/10011654183

Exports and capacity constraints : a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2013

Traditional specifications of export equations incorporate foreign demand as a demand pull factor and the real exchange rate as a relative price variable. However, such standard export equations have failed to explain the export performance of euro area countries during the crisis period. In...

Persistent link: https://www.econbiz.de/10010255111

Exports and capacity constraints : a smooth transition regression model for six euro area countries

Belke, Ansgar; Oeking, Anne; Setzer, Ralph - 2013

Persistent link: https://www.econbiz.de/10010195462

Maximum likelihood estimation for generalized autoregressive score models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …

Persistent link: https://www.econbiz.de/10010250505

Maximum likelihood estimation for correctly specified generalized autoregressive score models : feedback effects, contraction conditions and asymptotic properties

Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014

which the (local) invertibility of the model follows directly from the stable behavior of the true time varying parameter …

Persistent link: https://www.econbiz.de/10010364739

Modeling volatility persistence and asymmetry with exogenous breaks in the Nigerian stock returns

Kuhe, David A. - In: CBN journal of applied statistics 9 (2018) 1, pp. 167-196

for the existence of asymmetry without leverage effect was found in Nigerian stock market. The EGARCH (1,1) model with …This study examines the volatility persistence and asymmetry with exogenous breaks in Nigerian stock market. The study … were employed to measure shocks persistence and leverage effects in the presence of varying distributional assumptions. The …

Persistent link: https://www.econbiz.de/10011922754