Author: Annastiina SilvennoinenPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Testing Constancy of Unconditional Variance in Volatility Models by Misspecification and Specification Tests
Author: Annastiina SilvennoinenOmitted Variables and Misspecification Testing Using Auxiliary Regressions
Author: Aris SpanosVariation-Based Tests for Volatility Misspecification
Author: Alex PapanicolaouPublisher:
ISBN:
Category :
Languages : en
Pages : 48
Book Description
We provide a simple and easy to use goodness-of-fit test for the misspecification of the volatility function in diffusion models. The test uses power variations constructed as functionals of discretely observed diffusion processes. We introduce an orthogonality condition which stabilizes the limit law in the presence of parameter estimation and avoids the necessity for a bootstrap procedure that reduces performance and leads to complications associated with the structure of the diffusion process. The test has good finite sample performance as we demonstrate in numerical simulations.
Handbook of Financial Time Series
Author: Torben Gustav AndersenPublisher: Springer Science & Business Media
ISBN: 3540712976
Category : Business & Economics
Languages : en
Pages : 1045
Book Description
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Emerging Markets and the Global Economy
Author: Mohammed El Hedi ArouriPublisher: Academic Press
ISBN: 0124115632
Category : Business & Economics
Languages : en
Pages : 927
Book Description
Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
Misspecification Tests in Econometrics
Author: L. G. GodfreyPublisher: Cambridge University Press
ISBN: 9780521424592
Category : Business & Economics
Languages : en
Pages : 276
Book Description
Misspecification tests play an important role in detecting unreliable and inadequate economic models. This book brings together many results from the growing literature in econometrics on misspecification testing. It provides theoretical analyses and convenient methods for application. The main emphasis is on the Lagrange multiplier principle, which provides considerable unification, although several other approaches are also considered. The author also examines general checks for model adequacy that do not involve formulation of an alternative hypothesis. General and specific tests are discussed in the context of multiple regression models, systems of simultaneous equations, and models with qualitative or limited dependent variables.
Modelling Financial Time Series
Author: Stephen J. TaylorPublisher: World Scientific
ISBN: 9812770852
Category : Business & Economics
Languages : en
Pages : 297
Book Description
This book contains several innovative models for the prices of financial assets. First published in 1986, it is a classic text in the area of financial econometrics. It presents ARCH and stochastic volatility models that are often used and cited in academic research and are applied by quantitative analysts in many banks. Another often-cited contribution of the first edition is the documentation of statistical characteristics of financial returns, which are referred to as stylized facts. This second edition takes into account the remarkable progress made by empirical researchers during the past two decades from 1986 to 2006. In the new Preface, the author summarizes this progress in two key areas: firstly, measuring, modelling and forecasting volatility; and secondly, detecting and exploiting price trends. Sample Chapter(s). Chapter 1: Introduction (1,134 KB). Contents: Features of Financial Returns; Modelling Price Volatility; Forecasting Standard Deviations; The Accuracy of Autocorrelation Estimates; Testing the Random Walk Hypothesis; Forecasting Trends in Prices; Evidence Against the Efficiency of Futures Markets; Valuing Options; Appendix: A Computer Program for Modelling Financial Time Series. Readership: Academic researchers in finance & economics; quantitative analysts.
Financial Econometrics
Author: Independent and Stationary Sequences of Random Variables
Author: Ilʹdar Abdulovich IbragimovPublisher:
ISBN:
Category : Distribution (Probability theory).
Languages : en
Pages : 456
Book Description
Asymptotic Theory for Econometricians
Author: Halbert WhitePublisher: Academic Press
ISBN: 1483294420
Category : Business & Economics
Languages : en
Pages : 241
Book Description
This book is intended to provide a somewhat more comprehensive and unified treatment of large sample theory than has been available previously and to relate the fundamental tools of asymptotic theory directly to many of the estimators of interest to econometricians. In addition, because economic data are generated in a variety of different contexts (time series, cross sections, time series--cross sections), we pay particular attention to the similarities and differences in the techniques appropriate to each of these contexts.