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on Econometric Time Series |
| By: | Cizek, P.; Haerdle, W.; Spokoiny, V. (Tilburg University, Center for Economic Research) |
| Abstract: | This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients may arbitrarily vary with time. Global parametric, smooth transition, and changepoint models are special cases. The method is based on an adaptive pointwise selection of the largest interval of homogeneity with a given right-end point by a local change-point analysis. We construct locally adaptive estimates that can perform this task and investigate them both from the theoretical point of view and by Monte Carlo simulations. In the particular case of GARCH estimation, the proposed method is applied to stock-index series and is shown to outperform the standard parametric GARCH model. |
| Keywords: | adaptive pointwise estimation;autoregressive models;conditional heteroscedasticity models;local time-homogeneity |
| JEL: | C13 C14 C22 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:200735&r=ets |
| By: | Drost, F.C.; Akker, R. van den; Werker, B.J.M. (Tilburg University, Center for Economic Research) |
| Abstract: | Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p; q; m; n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006). |
| Keywords: | count data;integer-valued time series;bilinear model |
| JEL: | C22 |
| Date: | 2007 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:200747&r=ets |
| By: | Lucía Cuadro Sáez; Manuel Moreno |
| Abstract: | Daily financial market returns (as log difference in closing prices) may be quite sensitive to operations with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market, returns by providing a new indicator that accounts for the information content in prices and trading volumes: the volume weighted return. Then we estimate a GARCH (1,1) model for the IBEX-35 futures market that includes shocks arising from countries linked to the Spanish economy. Our empirical findings suggest that the new measure of market evolution provide more moderate estimates of the impact of the relevant news coming from abroad and thus, it might be relevant to assess the linkages of one market to other economies. |
| Keywords: | volume weighted return, trading volumes, international transmission of news, GARCH |
| JEL: | G14 G15 G10 |
| Date: | 2007–05 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieasw:440&r=ets |