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Simple, Skewness-Based GMM Estimation of the Semi-Strong GARCH(1,1) Model
Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009
-strong ARCH(1) model, do not extend to the semi-strong GARCH(1,1) case because of underidentification. Augmenting the instrument …
Persistent link: https://www.econbiz.de/10009147566
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Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10010958670
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10010298337
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Back to the future betas: Empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies 4 (2016) 3, pp. 1-13
(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …
Persistent link: https://www.econbiz.de/10011709010
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Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10005120776
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Back to the future betas : empirical asset pricing of US and Southeast Asian markets
French, Jordan - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-13
(GARCH) models, of differing lag and parameter terms, to forecast the variance of the market used in the denominator of the … squared forecast error (MSE) were used to compare the forecasting ability of the ex-ante GARCH models, Artificial Neural …
Persistent link: https://www.econbiz.de/10011526799
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … compare estimates of variants of GARCH models with break in respect of the US dollar rates with exogenously determined break … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
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Estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional moments
Hsu, Shih-Hsun; Kuan, Chung-Ming - In: Journal of Econometrics 165 (2011) 1, pp. 87-99
conventional two-step GMM method. Our simulations confirm that the proposed estimator compares favorably with that of Domínguez and …
Persistent link: https://www.econbiz.de/10011052203
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Local GMM Estimation of Time Series Models with Conditional Moment Restrictions
Gospodinov, Nikolay; Otsu, Taisuke - Department of Economics, Concordia University - 2008
This paper investigates statistical properties of the local GMM (LGMM) estimator for some time series models defined by … and establish the consistency, asymptotic normality, and semi-parametric efficiency of the estimator. Second, inspired by …
Persistent link: https://www.econbiz.de/10004968092