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Author : Kapildeb Sen
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.:/5 (51 download)
Download or read book Unit Root Tests in Time Series and Stochastic Volatility Models written by Kapildeb Sen and published by . This book was released on 2002 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: measurement error, SIMEX, SVM, unit root.
Download or read book Unit Root Tests in Time Series and Stochastic Volatility Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing appropriate forecasts of time series data into the future depends crucially on whether the time series under consideration is non-stationary (i.e. has a unit root) or stationary. In the context of a Stochastic Volatility Model (SVM), the presence of a unit root in financial data has important implications for the pricing of various financial instruments. We propose a unit root test for the volatility process based on the Simulation-Extrapolation (SIMEX) approach. We express the SVM as a measurement error model and propose a Simulation-Extrapolation (SIMEX)-based approach to test for the unit root hypothesis. The asymptotic theory of the Ordinary Least Squares (OLS) and Weighted Symmetric (WS) estimators are exploited to obtain SIMEX-based tests and simulation studies are provided to demonstrate that the SIMEX-based test compares favorably with some of the well known unit root tests already available in the literature. We also propose a unit root test based on the maximum order statistic in a simple autoregressive (AR) model of order 1. The asymptotic distribution of the test statistic under the null hypothesis is derived and the approximate percentiles are also provided. Through simulation studies, the proposed test is compared with the Dickey-Fuller (DF) test under various specifications for the error distributions. In the final chapter of this dissertation, we propose a procedure to test the null hypothesis of stationarity in AR (1) models. The procedure is based on the Intersection-Union tests used in Bio-Equivalence studies. The performance of the test based on finite sample percentiles as well as asymptotic percentiles is assessed using simulation studies.
Download or read book Frequentist and Bayesian Unit Root Tests in Stochastic Volatility Models written by and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In stochastic volatility models, the unit root test on the time series of the unobserved log-volatilities may be performed by applying the commonly usedfrequentist unit root tests. For instance, augmented Dickey Fuller tests based on the log-squared meancorrected returns can be used. The log-squared meancorrected returns have the same second order properties as that of an autoregressive moving average process. However, we observed that the moving average parameter of the resulting process (based on the log-squared meancorrected returns) is typically close to the autoregressive parameter. For this reason, the unit root tests applied to stochastic volatility models tend to reject theunit root in finite samples. We propose a method for performing thefrequentist unit root tests in stochastic volatility models based on the finite sampling distribution of the well known test statistics. In addition to the frequentist testing procedures, Bayesian unit root testscan be used to test for a unit root in stochastic volatility models as well. A Bayesian test based on the Bayes factor has been suggested by So and Li (1999). In this approach, they work with the mean corrected returns instead of thelog-squared mean corrected returns. They treat the unobserved log-volatilitiesas missing observations. The prior densities they use for the autoregressiveparameter are continuous densities defined on an interval that does not include the value beingtested. Such prior densities for the autoregressive parameterare not suitable where one's main concern is to test for a unit root inlog-volatilities. We introduce a new prior density for this parameter that puts a positive mass on thepoint being tested. We also consider continuous prior densities defined on an interval that includes thepoint one. These prior densities allow us to use the posterior interval ofthe autoregressive parameter as a testing criterion. The advantage of our method is that it is simple and useful. The performance of these t.
Author : Zeynep Isil Kalaylioğlu
Publisher :
ISBN 13 :
Total Pages : 164 pages
Book Rating : 4.:/5 (489 download)
Download or read book Frequentist and Bayesian Unit Root Tests in Stochastic Volatility Models written by Zeynep Isil Kalaylioğlu and published by . This book was released on 2002 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keywords: unit root test, stochastic volatility models, gibbs sampling, markov chain monte carlo, volatility.
Author : K. Patterson
Publisher : Springer
ISBN 13 : 023029930X
Total Pages : 676 pages
Book Rating : 4.2/5 (32 download)
Download or read book Unit Root Tests in Time Series Volume 1 written by K. Patterson and published by Springer. This book was released on 2011-02-25 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Author : K. Patterson
Publisher : Springer
ISBN 13 : 1137003316
Total Pages : 586 pages
Book Rating : 4.1/5 (37 download)
Download or read book Unit Root Tests in Time Series Volume 2 written by K. Patterson and published by Springer. This book was released on 2012-07-05 with total page 586 pages. Available in PDF, EPUB and Kindle. Book excerpt: Testing for a Unit Root is now an essential part of time series analysis but the literature on the topic is so large that knowing where to start is difficult even for the specialist. This book provides a way into the techniques of unit root testing, explaining the pitfalls and nonstandard cases, using practical examples and simulation analysis.
Author : Giuseppe Cavaliere
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Time-Transformed Unit Root Tests for Models with Non-Stationary Volatility written by Giuseppe Cavaliere and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Conventional unit root tests are known to be unreliable in the presence of permanent volatility shifts. In this paper, we propose a new approach to unit root testing which is valid in the presence of a quite general class of permanent variance changes which includes single and multiple (abrupt and smooth transition) volatility change processes as special cases. The new tests are based on a time transformation of the series of interest which automatically corrects their form for the presence of non-stationary volatility without the need to specify any parametric model for the volatility process. Despite their generality, the new tests perform well even in small samples. We also propose a class of tests for the null hypothesis of stationary volatility in (near-) integrated time-series processes.
Author : Gebhard Kirchgässner
Publisher : Springer Science & Business Media
ISBN 13 : 3642334350
Total Pages : 326 pages
Book Rating : 4.6/5 (423 download)
Download or read book Introduction to Modern Time Series Analysis written by Gebhard Kirchgässner and published by Springer Science & Business Media. This book was released on 2012-10-09 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
Author : Klaus Neusser
Publisher : Springer
ISBN 13 : 331932862X
Total Pages : 421 pages
Book Rating : 4.3/5 (193 download)
Download or read book Time Series Econometrics written by Klaus Neusser and published by Springer. This book was released on 2016-06-14 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.
Author : Daisuke Nagakura
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Testing for Random Coefficient Autoregressive and Stochastic Unit Root Models written by Daisuke Nagakura and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The random coefficient autoregressive model has been utilized for modeling financial time series because it possesses features that are often observed in financial time series. When the mean of the random autoregressive coefficient is one, it is called the stochastic unit root model. This paper proposes two Lagrange multiplier tests for the null hypothesis of random coefficient autoregressive and stochastic unit root models against a more general model. We apply our Lagrange multiplier tests to several stock index data, and find that the stochastic unit root model is rejected, whereas the random coefficient autoregressive model is not. This result indicates that it is important to check the validity of the stochastic unit root model prior to applying it to financial time series data, which may be better modeled by the random coefficient autoregressive model with the mean being not equal to one.
Author : Terence C. Mills
Publisher : Cambridge University Press
ISBN 13 : 9780521624923
Total Pages : 386 pages
Book Rating : 4.6/5 (249 download)
Download or read book The Econometric Modelling of Financial Time Series written by Terence C. Mills and published by Cambridge University Press. This book was released on 1999-08-26 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: Provides detailed coverage of the models currently being used in the empirical analysis of financial markets. Copyright © Libri GmbH. All rights reserved.
Author : K. Patterson
Publisher : Springer
ISBN 13 : 0230248454
Total Pages : 301 pages
Book Rating : 4.2/5 (32 download)
Download or read book A Primer for Unit Root Testing written by K. Patterson and published by Springer. This book was released on 2010-03-31 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book gives an authoritative overview of the literature on non-stationarity, integration and unit roots, providing direction and guidance. It also provides detailed examples to show how the techniques can be applied in practical situations and the pitfalls to avoid.
Author : George E. P. Box
Publisher : John Wiley & Sons
ISBN 13 : 111867491X
Total Pages : 712 pages
Book Rating : 4.1/5 (186 download)
Download or read book Time Series Analysis written by George E. P. Box and published by John Wiley & Sons. This book was released on 2015-06-02 with total page 712 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the Fourth Edition "The book follows faithfully the style of the original edition. The approach is heavily motivated by real-world time series, and by developing a complete approach to model building, estimation, forecasting and control." —Mathematical Reviews Bridging classical models and modern topics, the Fifth Edition of Time Series Analysis: Forecasting and Control maintains a balanced presentation of the tools for modeling and analyzing time series. Also describing the latest developments that have occurred in the field over the past decade through applications from areas such as business, finance, and engineering, the Fifth Edition continues to serve as one of the most influential and prominent works on the subject. Time Series Analysis: Forecasting and Control, Fifth Edition provides a clearly written exploration of the key methods for building, classifying, testing, and analyzing stochastic models for time series and describes their use in five important areas of application: forecasting; determining the transfer function of a system; modeling the effects of intervention events; developing multivariate dynamic models; and designing simple control schemes. Along with these classical uses, the new edition covers modern topics with new features that include: A redesigned chapter on multivariate time series analysis with an expanded treatment of Vector Autoregressive, or VAR models, along with a discussion of the analytical tools needed for modeling vector time series An expanded chapter on special topics covering unit root testing, time-varying volatility models such as ARCH and GARCH, nonlinear time series models, and long memory models Numerous examples drawn from finance, economics, engineering, and other related fields The use of the publicly available R software for graphical illustrations and numerical calculations along with scripts that demonstrate the use of R for model building and forecasting Updates to literature references throughout and new end-of-chapter exercises Streamlined chapter introductions and revisions that update and enhance the exposition Time Series Analysis: Forecasting and Control, Fifth Edition is a valuable real-world reference for researchers and practitioners in time series analysis, econometrics, finance, and related fields. The book is also an excellent textbook for beginning graduate-level courses in advanced statistics, mathematics, economics, finance, engineering, and physics.
Author : Torben Gustav Andersen
Publisher : Springer Science & Business Media
ISBN 13 : 3540712976
Total Pages : 1045 pages
Book Rating : 4.5/5 (47 download)
Download or read book Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : Ching-Zong Wei
Publisher : IMS
ISBN 13 : 9780940600683
Total Pages : 314 pages
Book Rating : 4.6/5 (6 download)
Download or read book Time Series and Related Topics written by Ching-Zong Wei and published by IMS. This book was released on 2006 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : D.R. Cox
Publisher : CRC Press
ISBN 13 : 9780412729300
Total Pages : 244 pages
Book Rating : 4.7/5 (293 download)
Download or read book Time Series Models written by D.R. Cox and published by CRC Press. This book was released on 1996-05-15 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis prediction and interpolation of economic and other time series has a long history and many applications. Major new developments are taking place, driven partly by the need to analyze financial data. The five papers in this book describe those new developments from various viewpoints and are intended to be an introduction accessible to readers from a range of backgrounds. The book arises out of the second Seminaire European de Statistique (SEMSTAT) held in Oxford in December 1994. This brought together young statisticians from across Europe, and a series of introductory lectures were given on topics at the forefront of current research activity. The lectures form the basis for the five papers contained in the book. The papers by Shephard and Johansen deal respectively with time series models for volatility, i.e. variance heterogeneity, and with cointegration. Clements and Hendry analyze the nature of prediction errors. A complementary review paper by Laird gives a biometrical view of the analysis of short time series. Finally Astrup and Nielsen give a mathematical introduction to the study of option pricing. Whilst the book draws its primary motivation from financial series and from multivariate econometric modelling, the applications are potentially much broader.
Author : Neil Shephard
Publisher : Oxford University Press, USA
ISBN 13 : 0199257205
Total Pages : 534 pages
Book Rating : 4.1/5 (992 download)
Download or read book Stochastic Volatility written by Neil Shephard and published by Oxford University Press, USA. This book was released on 2005 with total page 534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This work brings together some of the main papers that have influenced this field, andshows that the development of this subject has been highly multidisciplinary.
