The paper investigates asymptotically efficient inference in general time series likelihood models with time varying parameters. Inference procedures for general loss functions are evaluated by a weighted average risk criterion. The weight function focusses on persistent parameter paths of moderate magnitude, and is proportional to the distribution function of a Gaussian random walk. It is show...

We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/ dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before schedule...

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2...

A semiparametric extension of the GJR model (Glosten et al., 1993. Journal of Finance 48, 1779–1801) is proposed for the volatility of foreign exchange returns. Under reasonable assumptions, asymptotic normal distributions are established for the estimators of the model, corroborated by simulation results. When applied to the Deutsche Mark/US Dollar and the Deutsche Mark/British Pound daily ret...

The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic ...

This paper analyses two well-known features of interest rates, namely their time dependence and their cyclical structure. Specifically, it focuses on the monthly Euribor rate, using monthly data from January 1994 to May 2011. Models based on fractional integration at the long run or zero frequency, although adequately describing the persistent behaviour of the series, do not take into account i...

We make use in this article of a testing procedure suggested by Robinson (1994) for testing deterministic seasonality versus seasonal fractional integration. A new test statistic is developed to simultaneously test both, the order of integration of the seasonal component and the need of seasonal dummy variables. Finite-sample critical values of the tests are computed and, an empirical applicati...

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2...

this paper estimates a structural cointegrating varx model with exogenous variables for iran. the long-run macroeconomic relationships are identified and tested within this framework. we make use of the generalized forecast error variance decomposition to analyze the dynamic properties of the model in response to different shocks. we also examine via the persistence profiles, the speed of adjus...

The Journal of Economic Literature codes classification system (JEL) published by the American Association (AEA) is de facto standard for research literature in economics. JEL used to classify articles, dissertations, books, book reviews, and working papers EconLit, a database maintained AEA. Over time, it has evolved extended with over 850 subclasses. This paper reviews history development sys...