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Revisiting the long memory dynamics of implied-realized volatility relation : a new evidence from wavelet band spectrum regression

Barunik, Jozef; Barunikova, Michaela - 2015

This paper revisits the fractional co-integrating relationship between ex-ante implied volatility and ex-post realized volatility. Previous studies on stock index options have found biases and inefficiencies in implied volatility as a forecast of future volatility. It is argued that the concept...

Persistent link: https://www.econbiz.de/10011280711

Nonparametric regression estimation for multivariate null recurrent processes

Cai, Biqing; Tjostheim, Dag - In: Econometrics : open access journal 3 (2015) 2, pp. 265-288

This paper discusses nonparametric kernel regression with the regressor being a d-dimensional ß-null recurrent process in presence of conditional heteroscedasticity. We show that the mean function estimator is consistent with convergence rate p n(T)hd, where n(T) is the number of regenerations...

Persistent link: https://www.econbiz.de/10011297654

Model selection procedures in bounds test of cointegration : theoretical comparison and empirical evidence

Badshah, Waqar; Bulut, Mehmet - In: Economies : open access journal 8 (2020) 2/49, pp. 1-23

(Brazil, Russia, India, China and South Africa) countries using Bounds cointegration test. It was found that information … cointegration for model selection. The aim of this paper was twofold; one was to evaluate the performance of these five routinely …

Persistent link: https://www.econbiz.de/10012238626

Testing for panel cointegration using common correlated effects estimators

Banerjee, Anindya; Carrion i Silvestre, Josep Lluís - 2017

used to design a panel cointegration test statistic accounting for cross-section dependence. The performance of the …

Persistent link: https://www.econbiz.de/10012010208

Comparison of error correction models and first-difference models in CCAR deposits modeling

Guo, Zi-Yi - 2017 - This version: March 2017

A well-known issue associated with linear time-series models is the so-called spurious regression problem when the variables are non-stationary. To cure this issue, one usually differences the data first, tests the stationarity of the first differences, and then runs regressions on the revised...

Persistent link: https://www.econbiz.de/10011724257

Analysis of sectors on Nigeria stock market : evidence from correlation, serial correlation, and heteroscedasticity

Emenike, Kalu O. - In: Journal of contemporary economic and business issues 4 (2017) 2, pp. 21-36

The objective of this paper is to evaluate the behaviour of Nigerian Stock Exchange (NSE) sector indices. Specifically, the paper analyzes the returns correlation, serial correlation and heteroscedasticity on the NSE All-share Index, Banking Index, Consumer Goods Index, Oil & Gas Index, NSE 30...

Persistent link: https://www.econbiz.de/10011862130

Empirical estimates for the Brazilian total imports equation using quarterly national accounts data (1996-2010)

Gouvêa, Raphael Rocha; Schettini, Bernardo Patta - In: Economia : revista da ANPEC 16 (2015) 2, pp. 250-271

This paper presents econometric estimates for the Brazilian aggregate imports over the period 1996-2010. To the best of our knowledge, this is the first paper that uses the Brazilian quarterly national accounts with this goal in mind. Besides estimating a demand equation (canonical model), as it...

Persistent link: https://www.econbiz.de/10011865510

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

cointegrating relationship to a spurious regression. The cointegration monitoring procedure is based on residuals from modified …

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

Fully modified Narrow-Band least squares estimation of weak fractional cointegration

Frederiksen, Per; Nielsen, Morten Ørregaard - 2009

We consider estimation of the cointegrating relation in the weak fractional cointegration model, where the strength of … fractional cointegration model, which has found important application recently, especially in financial economics. Previous …. -- Fractional cointegration ; frequency domain ; fully modified estimation ; long memory ; semiparametric …

Persistent link: https://www.econbiz.de/10003919719

Critical values for cointegration tests

MacKinnon, James G. - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10003919736