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A Discrete Time Series Model for High Frequency Financial Data
Mitchell, Heather Eunice - 2012
In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes...
Persistent link: https://www.econbiz.de/10013104300
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On the Invertibility of EGARCH
McAleer, Michael; Martinet, Guillaume Gaetan - Facultad de Ciencias Económicas y Empresariales, … - 2014
conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility … stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re …
Persistent link: https://www.econbiz.de/10011079163
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Maximum likelihood estimation for generalized autoregressive score models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
models driven by the score function of the predictive likelihood. This class of nonlinear dynamic models includes both new … processes. We formulate primitive conditions for global identification, invertibility, strong consistency, and asymptotic …
Persistent link: https://www.econbiz.de/10010250505
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A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.; McAleer, Michael - 2014 - Revised: July 2014
stationarity and invertibility conditions. The derivation of DCC from a vector random coefficient moving average process raises …
Persistent link: https://www.econbiz.de/10010374571
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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
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility … stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re …
Persistent link: https://www.econbiz.de/10010384390
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On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - 2015 - Revised version: February 2015
properties of the QMLE for the EGARCH(p,q) model is the lack of an invertibility condition for the returns shocks underlying the … invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the …
Persistent link: https://www.econbiz.de/10010477092
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Nonstationary Discrete Choice
Hu, Ling; Phillips, Peter C. B. - 2003
This paper develops an asymptotic theory for time series discrete choice models with explanatory variables generated as integrated processes and with multiple choices and threshold parameters determining the choices. The theory extends recent work by Park and Phillips (2000) on binary choice...
Persistent link: https://www.econbiz.de/10014116706
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Stationarity and the existence of moments of a family of GARCH processes
Ling, Shiqing (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]
, the necessary and sufficient condition for the existence of the moments is obtained. The technique used in this paper for … and the existence of its moments are simple to check and should prove useful in practice. -- Ergodicity ; Existence of … moments ; GARCH ; Stationarity …
Persistent link: https://www.econbiz.de/10001644082
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A smooth permanent surge process
González, Andrés (contributor) - 2004 - [Elektronische Ressource]
In this paper we introduce the Smooth Permanent Surge [SPS] model. The model is an integrated non lineal moving average process with possibly unit roots in the moving average coefficients. The process nests the Stochastic Permanent Break [STOPBREAK] process by Engle and Smith (1999) and in a...
Persistent link: https://www.econbiz.de/10002465176