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THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Caporale, Guglielmo Maria; Ntantamis, Christos; … - Economics and Finance Section, School of Social … - 2004
In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews,...
Persistent link: https://www.econbiz.de/10005403877
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The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification. A Monte Carlo Study
Caporale, Guglielmo Maria; Ntantamis, Christos; … - Department of Economics and Finance Research and … - 2004
In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...
Persistent link: https://www.econbiz.de/10005764201
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THE BDS TEST AS A TEST FOR THE ADEQUACY OF A GARCH(1,1) SPECIFICATION: A MONTE CARLO STUDY
Caporale, Guglielmo Maria; Ntantamis, Christos; … - Economics and Finance Section, School of Social … - 2004
In this study we examine the widely used Brock, Dechert and Scheinkman (BDS) test when applied to the logarithm of the standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews,...
Persistent link: https://www.econbiz.de/10005249098
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The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study
Caporale, Guglielmo Maria; Ntantamis, Christos; … - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 282-309
Persistent link: https://www.econbiz.de/10002811388
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The BDS test as a test for the adequacy of a GARCH (1,1) specification : a Monte Carlo study
Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004
In this study, we examine the Brock, Dechert and Scheinkman (BDS) test when applied to the standardised residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996, Econometric Reviews, 15, 237-259) for the...
Persistent link: https://www.econbiz.de/10009728983
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The BDS test as a test for the adequacy of a GARCH(1,1) specification : a Monte Carlo study
Caporale, Guglielmo Maria; Ntantamis, Christos; … - 2004
Persistent link: https://www.econbiz.de/10002068650
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The Bds Test as a Test for the Adequacy of a Garch(1,1) Specification : A Monte Carlo Study
Caporale, Guglielmo Maria - 2010
In this study we examine the widely used Brock, Dechert, and Scheinkman (BDS) test when applied to the logarithm of the squared standardized residuals of an estimated GARCH(1,1) model as a test for the adequacy of this specification. We review the conditions derived by De Lima (1996; Econometric...
Persistent link: https://www.econbiz.de/10012761975
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Testing for Granger causality in variance in the presence of causality in mean
Pantelidis, Theologos; Pittis, Nikitas - In: Economics letters 85 (2004) 2, pp. 201-208
Persistent link: https://www.econbiz.de/10006754951
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The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates
Malliaropulos, Dimitrios; Panopoulou, Ekaterini; … - Institute for International Integration Studies (IIIS), … - 2006
This paper employs a new methodology for measuring the contribution of growth and interest rate differentials to the half-life of deviations from Purchasing Power Parity (PPP). Our method is based on directly comparing the impulse response function of a VAR model, where the real exchange rate is...
Persistent link: https://www.econbiz.de/10005649988
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The Contribution of Growth and Interest Rate Differentials to the Persistence of Real Exchange Rates.
Panopoulou, Ekaterini; Malliaropulos, Dimitrios; … - Department of Economics, National University of Ireland - 2006
This paper employs a new methodology for measuring the contribution of growth and interest rate differentials to the half-life of deviations from Purchasing Power Parity (PPP). Our method is based on directly comparing the impulse response function of a VAR model, where the real exchange rate is...
Persistent link: https://www.econbiz.de/10005656698