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's dynamic properties may lead to misestimation of the intraday spot volatility. …
Persistent link: https://www.econbiz.de/10011411344
's dynamic properties may lead to misestimation of the intraday spot volatility …
Persistent link: https://www.econbiz.de/10013007161
measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous … the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …
Persistent link: https://www.econbiz.de/10013133961
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …
Persistent link: https://www.econbiz.de/10012023869
This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …
Persistent link: https://www.econbiz.de/10012022130
Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...
Persistent link: https://www.econbiz.de/10011346471
volatility of a time series. We derive the main properties of the model and apply it to all agricultural commodities in the … volatility process and, according to homoscedasticity tests, outperforms the ARCH(1) and GARCH(1,1) models, some of the most … popular approaches used in the literature to analyze price volatility. Keywords: Agricultural prices, volatility, GARCH models. …
Persistent link: https://www.econbiz.de/10011456514
Persistent link: https://www.econbiz.de/10011842038
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386124