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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013
robust to both conditional and unconditional heteroskedasticity of a quite general and unknown form in the shocks. We show … pivotal asymptotic null distributions in the presence of heteroskedasticity, but that the corresponding tests based on the … wild bootstrap principle do. An heteroskedasticity-robust Wald test, based around a sandwich estimator of the variance, is …
Persistent link: https://www.econbiz.de/10009743847
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Partial identification of heteroskedastic structural VARs : theory and Bayesian inference
Lütkepohl, Helmut; Shang, Fei; Uzeda, Luis; Woźniak, … - 2024
particular structural shock is identified by heteroskedasticity without the need to impose any sign or exclusion restrictions …
Persistent link: https://www.econbiz.de/10014528602
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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011324716
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Forecasting stock market volatility conditional on macroeconomic conditions.
Becker, Ralf; Clements, Adam - National Centre for Econometric Research (NCER) - 2007
This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the...
Persistent link: https://www.econbiz.de/10005416549
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Non Linear Moving-Average Conditional Heteroskedasticity
Ventosa-Santaulària, Daniel; Mendoza V., Alfonso - Volkswirtschaftliche Fakultät, … - 2005
variance is proposed: the Non-Linear Moving Average Conditional Heteroskedasticity: (NLMACH). While NLMACH properties are …
Persistent link: https://www.econbiz.de/10011111670
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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
heteroskedasticity in Indian markets since the presence of volume (proxy for information flow) in volatility equation, as an independent …
Persistent link: https://www.econbiz.de/10011114116
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A Multivariate Test Against Spurious Long Memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011196464
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Large shocks in the volatility of the Dow Jones Industrial Average index: 1928–2013
Charles, Amélie; Darné, Olivier - In: Journal of Banking & Finance 43 (2014) C, pp. 188-199
We determine the events that cause large shocks in volatility of the DJIA index over the period 1928–2013, using a new semi-parametric test based on conditional heteroscedasticity models. We find that these large shocks can be associated with particular events (financial crashes, elections,...
Persistent link: https://www.econbiz.de/10010777128
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Stock returns and risk: Evidence from quantile
Chiang, Thomas C.; Li, Jiandong - In: Journal of Risk and Financial Management 5 (2012) 1, pp. 20-58
This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four major stock indexes in the US market and finds some evidence in favor of a positive relation between the mean of the excess returns and expected risk. However, by using...
Persistent link: https://www.econbiz.de/10011843232
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A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark...
Ventosa, Daniel - Departament d'Economia i Història Econòmica, …
Conditional heteroskedasticity model. Its statistical properties, such as the kurtosis and the symmetry, as well as two estimators …
Persistent link: https://www.econbiz.de/10005823941