Results 41 to 50 of about 25,094 (140)
Asymmetric stable stochastic volatility models: estimation, filtering, and forecasting
Journal of Time Series Analysis, EarlyView.This article considers a stochastic volatility model featuring an asymmetric stable error distribution and a novel way of accounting for the leverage effect. We adopt simulation‐based methods to address key challenges in parameter estimation, the filtering of time‐varying volatility, and volatility forecasting.
Francisco Blasques +2 more
wiley +1 more source
A new heteroskedasticity‐robust test for explosive bubbles
Journal of Time Series Analysis, EarlyView.We propose a new class of modified regression‐based tests for detecting asset price bubbles designed to be robust to the presence of general forms of both conditional and unconditional heteroskedasticity in the price series. This modification, based on the approach developed in Beare (2018) in the context of conventional unit root testing, is achieved ...
David I. Harvey +3 more
wiley +1 more source
Empirical likelihood for martingale differences
Journal of Time Series Analysis, EarlyView.In this article, we consider an empirical likelihood with vector observations that are martingale differences and prove a Wilks' type theorem under a conditional Lindeberg condition. We then generalize this result to approximate martingale differences.
Anton Schick
wiley +1 more source
Stability of nonlinear AR-GARCH models [PDF]
This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized ...
Meitz, Mika, Saikkonen, Pentti
core
The Weight of Economic Growth and Urbanization on Electricity Demand in UAE [PDF]
, 1993 This study aims to explore the relationship between economic growth, urbanization, financial development and electricity consumption in case of United Arab Emirates. The study covers the time period of 1975-2011.
Sbia, Rashid +2 more
core +4 more sources
Journal of Time Series Analysis, EarlyView.ABSTRACT The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. We begin by establishing a general Neyman–Pearson‐type characterization of optimal extreme event predictors in terms of density ratios.
Victor Verma, Stilian Stoev, Yang Chen
wiley +1 more source
Review of International Economics, EarlyView.ABSTRACT We propose a reduced‐form transitional gravity model and an accompanying flexible reduced‐form estimation approach. The Lucas–Prescott adjustment model is extended to allow for lag‐interval‐varying depreciation‐cum‐adjustment‐cost of bilateral trade capacities.
James E. Anderson, Yoto V. Yotov
wiley +1 more source
Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations [PDF]
In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure.
Cristina Amado, Timo Teräsvirta
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Presidential Approval Ratings and Stock Market Performance in Latin America
Scottish Journal of Political Economy, EarlyView.ABSTRACT This paper examines the time‐varying causality between presidential approval (PAR) and stock market performance, measured by stock returns and realised volatility, focussing on four prominent Latin American countries: Brazil, Chile, Colombia, and Mexico, from 1990M01 to 2016M05.
Yuvana Jaichand +2 more
wiley +1 more source
Return relationships among European equity sectors: A comparative analysis across selected sectors in small and large economies. [PDF]
This paper examines return interrelationships between numbers of equity sectors across several European markets. The markets comprise six Member States of the European Union (EU): namely, Belgium, Finland, France, Germany, Ireland and Italy.
Andrew Worthington, Siv Taing
core