|
on Econometric Time Series |
| By: | Anton Skrobotov (Gaidar Institute for Economic Policy) |
| Abstract: | In this paper a modification of the Busetti and Harvey (2001) test with structural break at unknown time is proposed. As the stationarity test with a super-consistent break date estimator is effective under large breaks and the infimum-test is effective under small breaks, although it has serious size distortions under large breaks, we propose a simple decision rule based on pre-testing for the presence of a break. The proposed modification shows good size properties. Also, an extension for the case of multiple structural breaks is proposed |
| Keywords: | KPSS test, in mum test, size distortion, power, pre-testing, structural breaks |
| JEL: | C12 C22 |
| Date: | 2014 |
| URL: | http://d.repec.org/n?u=RePEc:gai:wpaper:0102&r=ets |
| By: | Sofiane Aboura (CEREG - Centre de Recherche sur la gestion et la Finance - DRM UMR 7088 - Université Paris IX - Paris Dauphine); Julien Chevallier (EconomiX - CNRS : UMR7166 - Université Paris X - Paris Ouest Nanterre La Défense) |
| Abstract: | This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of 'volatility surprise' to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect cross-effects between the conditional variances. This paper aims to fill this gap. The dataset includes four aggregate indices representing equities, bonds, foreign exchange rates and commodities from 1983 to 2013. The results provide strong evidence of spillover effects coming from the 'volatility surprise' component across markets. Against the background of the recent financial crisis, the aim is to contribute to the literature on the interdependencies of financial markets, both in conditional means and (co)variances. In addition, asset management implications are derived. |
| Keywords: | Cross-market relationships; Volatility surprise; Volatility spillover; ADCCX; Asset management |
| Date: | 2014–07–27 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:halshs-01052488&r=ets |
| By: | Mateescu, George Daniel (Bucharest University of Civil Engeneering and Romanian Academy) |
| Abstract: | We study the implementation of time series trough C++ classes, using the fundamentals of C++ programming language, in the Linux framework. Such an implementation may be useful in time series modelling. |
| Keywords: | Object Programming, Time Series |
| JEL: | C23 |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:ror:wpince:131011&r=ets |