Specification tests for time-varying parameter models with stochastic volatility
نویسندگان
چکیده
منابع مشابه
Specification Tests for the Poisson Distribution with a Stochastic Parameter
A new method is proposed for testing the mixed Poisson model which employs the well known identity between the probability generating function of the mixed Poisson distribution and the Laplace transform of the mixing distribution. The method utilizes a weighted L2-type statistic which may be easily calculated and the resulting test is consistent against general alternatives. A limit statistic i...
متن کاملStochastic Volatility Models with Transaction Time Risk
We provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to transaction prices. So far, in the literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. By giving explicit moment conditions for observed returns over (random) transaction duration in...
متن کاملSpecification Tests for Nonlinear Time Series Models
This paper proposes a new parametric model adequacy test for possibly nonlinear time series models such as generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional duration (ACD). We consider the correct specification of parametric conditional distributions, not only some particular conditional characteristics. Using the true parametric conditional distri...
متن کاملCorrected portmanteau tests for VAR models with time-varying variance
The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-varying and allows for changes that are commonly observed in economic or financial multivariate series such as breaks or smooth transitions. Our analysis is based on the residual autocovariances and autocorrelations obtai...
متن کاملMultivariate Option Pricing with Time Varying Volatility Models
In recent years multivariate models for asset returns have received much attention, in particular this is the case for models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes to option pricing. Specifically, we derive the risk neutral dynamics for a general class of multivariate heteroskedastic models, and we provide a feasib...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2016
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2016.1167948