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11. |
Nonlinear time‐series analysis of stock volatilities |
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Journal of Applied Econometrics,
Volume 7,
Issue S1,
1992,
Page 165-185
C. Q. Cao,
R. S. Tsay,
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摘要:
AbstractThe absolute value of the mean‐corrected excess return is used in this paper to measure the volatility of stock returns. We apply various nonlinearity tests available in the literature to show that such volatility series are strongly nonlinear. We then explore the use of threshold autoregressive (TAR) models in describing monthly volatility series. The models built suggest that the volatility series exhibit significant lower‐order serial correlations when the volatility is large, indicating certain volatility clustering in stock returns. Out‐of‐sample forecasts are used to compare the TAR models with linear ARMA models and nonlinear GARCH and EGARCH models. Based on mean squared error and average absolute deviation, the comparisons show that (a) the TAR models consistently outperform the linear ARMA models in multi‐step ahead forecasts for large stocks, (b) the TAR models provide better forecasts than the GARCH and EGARCH models also for the volatilities of large stock returns, and (c) the EGARCH model gives the best long‐horizon volatility forecasts for small st
ISSN:0883-7252
DOI:10.1002/jae.3950070512
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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12. |
The comparative power of the TR test against simple threshold models |
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Journal of Applied Econometrics,
Volume 7,
Issue S1,
1992,
Page 187-195
P. Rothman,
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摘要:
AbstractThrough Monte‐Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considere
ISSN:0883-7252
DOI:10.1002/jae.3950070513
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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13. |
Tinbergen institute and journal of applied econometrics conference on: Econometric inference using simulation techniques. Erasmus University Rotterdam, The Netherlands 5–6 June, 1992 |
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Journal of Applied Econometrics,
Volume 7,
Issue S1,
1992,
Page 197-199
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PDF (193KB)
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ISSN:0883-7252
DOI:10.1002/jae.3950070514
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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14. |
For a special issue on calibration techniques and econometrics |
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Journal of Applied Econometrics,
Volume 7,
Issue S1,
1992,
Page 201-201
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PDF (59KB)
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ISSN:0883-7252
DOI:10.1002/jae.3950070515
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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15. |
Masthead |
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Journal of Applied Econometrics,
Volume 7,
Issue S1,
1992,
Page -
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PDF (94KB)
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ISSN:0883-7252
DOI:10.1002/jae.3950070501
出版商:Wiley Subscription Services, Inc., A Wiley Company
年代:1992
数据来源: WILEY
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