Econometrics: Applied Econometrics & Modeling eJournal最新文献_第3页

Testing Rational Expectations in a Cointegrated VAR with Abrupt Structural Change 结构突变协整VAR的理性预期检验

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-09-26 DOI: 10.2139/ssrn.983423

Emerson Fernandes Marçal

{"title":"Testing Rational Expectations in a Cointegrated VAR with Abrupt Structural Change","authors":"Emerson Fernandes Marçal","doi":"10.2139/ssrn.983423","DOIUrl":"https://doi.org/10.2139/ssrn.983423","url":null,"abstract":"The rational expectation hypothesis is widely used in finance and macroeconomics. A natural research question comprises investigating whether models that use this hypothesis can fit the data well. Researchers have been developing econometric procedures to test rational expectation models. Johansen and Swensen showed how to test rational expectation restrictions in the case where the data generating process is a cointegrated vector autoregressive model. This study aims to achieve three objectives. The first objective is to extend Johansen and Swensen's framework to the case where the data generating process is a cointegrated vector autoregressive model with abrupt structural change (CVAR-SC). The second goal is to show that the type of rational expectation restrictions analysed in this paper imply co-breaking, as defined by Hendry. Finally, the restrictions on the CVAR-SC parameters implied by the present value model, which is a particular rational expectation model, are analysed and derived, and a test is developed. Two empirical exercises are reported. The first is Engsted's dataset and the second uses the dividend and share prices of an important Brazilian retail bank.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"10 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86180536","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility 金融收益和已实现波动率的半参数条件分位数模型

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-08-20 DOI: 10.2139/ssrn.2313047

Filip Žikeš, Jozef Baruník

引用次数: 52

Intraday Volatility Forecast in Australian Equity Market 澳大利亚股票市场日内波动预测

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-08-12 DOI: 10.2139/ssrn.2308787

Abhay K. Singh, D. Allen, R. Powell

{"title":"Intraday Volatility Forecast in Australian Equity Market","authors":"Abhay K. Singh, D. Allen, R. Powell","doi":"10.2139/ssrn.2308787","DOIUrl":"https://doi.org/10.2139/ssrn.2308787","url":null,"abstract":"On the afternoon of May 6, 2010 Dow Jones Industrial Average (DJIA) plunged about 1000 points (about 9%) in a matter of minutes before rebounding almost as quickly. This was the biggest one day point decline on an intraday basis in the DJIA's history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4.8%. These historical events present very compelling argument for the need of robust econometrics models which can forecast intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility. Various Autoregressive Conditional Heteroskedastic (ARCH) time series models are widely used for modelling daily (end of day) volatility of the financial assets. The family of basic GARCH models work well for modelling daily volatility but they are proven to be not as efficient for intraday volatility. The last two decades has seen some research augmenting the GARCH family of models to forecast intraday volatility, the Multiplicative Component GARCH (MCGARCH) model of Engle & Sokalska (2012) is the most recent of them. MCGARCH models the conditional variance as the multiplicative product of daily, diurnal, and stochastic intraday volatility of the financial asset. In this paper we use MCGARCH model to forecast intraday volatility of Australia's S&P/ASX-50 stock market, we also use the model to forecast the intraday Value at Risk. As the model requires a daily volatility component, we test a GARCH based estimate and a Realized Variance based estimate of daily volatility component.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"73 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-08-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90573309","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 4

Which Reforms Work and Under What Institutional Environment: Evidence from a New Dataset on Structural Reforms 哪些改革有效，在什么样的制度环境下有效:来自结构性改革新数据集的证据

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-07-30 DOI: 10.2139/ssrn.1635231

M. Onorato, A. Prati, C. Papageorgiou

引用次数: 26

Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction 关于聚集、不对称和跳跃对波动率预测重要性的经验证据

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-07-27 DOI: 10.2139/ssrn.2300605

D. Duong, Norman R. Swanson

{"title":"Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction","authors":"D. Duong, Norman R. Swanson","doi":"10.2139/ssrn.2300605","DOIUrl":"https://doi.org/10.2139/ssrn.2300605","url":null,"abstract":"Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen, Bollerslev and Diebold (2007), Corsi, Pirino and Reno (2008), Barndorff, Kinnebrock, and Shephard (2010), Patton and Shephard (2011), and the references cited therein. In this paper, we review the extant literature and then present new empirical evidence on the predictive content of realized measures of jump power variations (including upside and downside risk, jump asymmetry, and truncated jump variables), constructed using instantaneous returns, i.e., |r_{t}|^{q}, 0≤q≤6, in the spirit of Ding, Granger and Engle (1993) and Ding and Granger (1996). Our prediction experiments use high frequency price returns constructed using SP and our empirical implementation involves estimating linear and nonlinear heterogeneous autoregressive realized volatility (HAR-RV) type models. We find that past \"large\" jump power variations help less in the prediction of future realized volatility, than past \"small\" jump power variations. Additionally, we find evidence that past realized signed jump power variations, which have not previously been examined in this literature, are strongly correlated with future volatility, and that past downside jump variations matter in prediction. Finally, incorporation of downside and upside jump power variations does improve predictability, albeit to a limited extent.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"27 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87165141","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 72

Stock Options as Lotteries 股票期权就像彩票

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-06-20 DOI: 10.2139/ssrn.1787365

Brian H. Boyer, Keith Vorkink

引用次数: 208

An Empirical Analysis of Regulator Mandates on the Pass Through of Switched Access Fees for In-State Long-Distance Telecommunications in the U.S. 美国州内长途电信交换接入费用传递的监管授权实证分析

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-06-19 DOI: 10.2139/ssrn.1674082

Debra J. Aron, David E. Burnstein, Ana C. Danies, G. Keith

{"title":"An Empirical Analysis of Regulator Mandates on the Pass Through of Switched Access Fees for In-State Long-Distance Telecommunications in the U.S.","authors":"Debra J. Aron, David E. Burnstein, Ana C. Danies, G. Keith","doi":"10.2139/ssrn.1674082","DOIUrl":"https://doi.org/10.2139/ssrn.1674082","url":null,"abstract":"In the parlance of regulatory economics, “pass-through�? refers to the effect of a change in an incremental cost – generally, the effect of a change in a regulated input price – on the retail price of a good or service. In this paper we examine retail long distance telephone service prices in the United States for evidence of pass-through of the switched access fees paid by long distance telephone companies to local exchange carriers. We estimate the degree to which long distance companies pass through to their customers reductions in access rates, and we examine whether mandates imposed by regulators on long distance companies to pass through access fee reductions to customers affect the extent of pass-through. We evaluate annual panel data on intrastate long-distance revenues, access expenses, and minutes of use from 2004 to 2008 in each of the 50 states in the U.S. using a proprietary and detailed data set. We leverage the fact that some states have accompanied access rate reductions with pass-through mandates, and others have not. Using standard multivariate regression techniques we find that the market induces carriers to pass-through most of the reduction in access rates, and that this market-based pass-through is consistent with “full�? (100%) pass-through in the states that have undergone regulatory access reform. We also find that a regulatory mandate on long distance companies to pass through access rate reductions has no statistically significant effect on the magnitude of access fee pass-through, supporting the economic hypothesis that pass-through is driven by incentives for profit maximization and by competitive forces.","PeriodicalId":11485,"journal":{"name":"Econometrics: Applied Econometrics & Modeling eJournal","volume":"24 25 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2013-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88704931","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Can Financial Markets Inform Operational Improvement Efforts? Evidence from the Airline Industry 金融市场能否为运营改进工作提供信息?来自航空业的证据

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-05-23 DOI: 10.2139/ssrn.1777250

Kamalini Ramdas, Jonathan M. Williams, M. Lipson

引用次数: 23

An MCMC Approach to Multivariate Density Forecasting: An Application to Liquidity 多元密度预测的MCMC方法:在流动性中的应用

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-05-05 DOI: 10.2139/ssrn.1743707

Fabian Krueger, Ingmar Nolte

引用次数: 2

Labor Mobility: Implications for Asset Pricing 劳动力流动:对资产定价的影响

Econometrics: Applied Econometrics & Modeling eJournal Pub Date : 2013-05-01 DOI: 10.2139/ssrn.1715232

Andrés Donangelo

引用次数: 199