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on Econometric Time Series |
| By: | Hultblad, Brigitta (Dept. of Economic Statistics, Stockholm School of Economics); Karlsson, Sune (Dept. of Economics, Statistics and Informatics) |
| Abstract: | The detection of structural change and determination of lag lengths are long-standing issues in time series analysis. This paper demonstrates how these can be successfully married in a Bayesian analysis. By taking account of the inherent uncertainty about the lag length when deciding on the number of structural breaks and vice versa we avoid some common pitfalls and are able to draw more robust conclusions. The approach is illustrated using both real and simulated data. |
| Keywords: | Regime shifts; Model uncertainty; Model averaging; Markov chain Monte Carlo; Real interest rate |
| JEL: | C11 C15 C22 C51 |
| Date: | 2006–06–08 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:hastef:0630&r=ets |
| By: | Peter F. Christoffersen (McGill University and CIRANO); Francis X. Diebold (Department of Economics, University of Pennsylvania); Roberto S. Mariano (Singapore Management University); Anthony S. Tay (Singapore Management University); Yiu Kuen Tse (Singapore Management University) |
| Abstract: | Recent theoretical work has revealed a direct connection between asset return volatility forecastability and asset return sign forecastability. This suggests that the pervasive volatility forecastability in equity returns could, via induced sign forecastability, be used to produce direction-of change forecasts useful for market timing. We attempt to do so in an international sample of developed equity markets, with some success, as assessed by formal probability forecast scoring rules such as the Brier score. An important ingredient is our conditioning not only on conditional mean and variance information, but also conditional skewness and kurtosis information, when forming direction-of-change forecasts. |
| Keywords: | Volatility, variance, skewness, kurtosis, market timing, asset management, asset allocation, portfolio management |
| JEL: | G10 G12 |
| Date: | 2006–02–01 |
| URL: | http://d.repec.org/n?u=RePEc:pen:papers:06-016&r=ets |
| By: | Raluca Balan (University of Ottawa, LRSP); Kulik (Wroclaw University and University of Ottawa) |
| Abstract: | In this article we give a necessary and su±cient condition for a selfnormalized weak invariance principle, in the case of a strictly stationary Á-mixing sequence fXjgj¸1. This is obtained under the assumptions that the function L(x) = EX2 1 1fjX1·xg is slowly varying at 1 and the mixing coe±cients satisfy Á1=2(n) < . |
| Keywords: | Self-normalized, weak invariance principle, mixing sequences. |
| JEL: | C10 C40 |
| Date: | 2005–03–30 |
| URL: | http://d.repec.org/n?u=RePEc:pqs:wpaper:082006&r=ets |