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We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...
Persistent link: https://www.econbiz.de/10012903299
In a recent article, Xu (2008) developed the asymptotic theory for autoregressions around a polynomial trend, under nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these tests are asymptotically standard normal. A...
Persistent link: https://www.econbiz.de/10013112126
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...
Persistent link: https://www.econbiz.de/10012063222
We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor's 500...
Persistent link: https://www.econbiz.de/10010478989
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011334362
We investigate the information theoretic optimality properties of the score function of the predictive likelihood as a device to update parameters in observation driven time-varying parameter models. The results provide a new theoretical justification for the class of generalized autoregressive...
Persistent link: https://www.econbiz.de/10010340740
electricity spot prices. In particular, daily log prices from the Nord Pool power exchange of Norway are modeled effectively by …
Persistent link: https://www.econbiz.de/10011346471
framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter …
Persistent link: https://www.econbiz.de/10014198167
Diebold-Mariano test is invalidated under these circumstances. Robust statistics based on a memory and autocorrelation …
Persistent link: https://www.econbiz.de/10011430242
Persistent link: https://www.econbiz.de/10011588230