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Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data 多重分形过程是否适合预测电价波动？来自澳大利亚盘中数据的证据
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-11-17 DOI: 10.1515/SNDE-2019-0009
Mawuli Segnon, C. Lau, Bernd Wilfling, Rangan Gupta
{"title":"Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data","authors":"Mawuli Segnon, C. Lau, Bernd Wilfling, Rangan Gupta","doi":"10.1515/SNDE-2019-0009","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0009","url":null,"abstract":"Abstract We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative specifications, namely (i) a smooth transition autoregressive fractionally integrated moving average (STARFIMA) process, and (ii) a Markov-switching autoregressive fractionally integrated moving average (MSARFIMA) process. We specify volatility dynamics via a set of (i) short- and long-memory GARCH-type processes, (ii) Markov-switching (MS) GARCH-type processes, and (iii) a Markov-switching multifractal (MSM) process. Based on equal and superior predictive ability tests (using MSE and MAE loss functions), we compare the out-of-sample relative forecasting performance of the models. We find that the (multifractal) MSM volatility model keeps up with the conventional GARCH- and MSGARCH-type specifications. In particular, the MSM model outperforms the alternative specifications, when using the daily squared return as a proxy for latent volatility.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"73 - 98"},"PeriodicalIF":0.8,"publicationDate":"2020-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0009","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41777001","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bayesian bandwidth estimation for local linear fitting in nonparametric regression models 非参数回归模型中局部线性拟合的贝叶斯带宽估计
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-11-09 DOI: 10.1515/snde-2018-0050
H. Shang, Xibin Zhang
{"title":"Bayesian bandwidth estimation for local linear fitting in nonparametric regression models","authors":"H. Shang, Xibin Zhang","doi":"10.1515/snde-2018-0050","DOIUrl":"https://doi.org/10.1515/snde-2018-0050","url":null,"abstract":"Abstract This paper presents a Bayesian sampling approach to bandwidth estimation for the local linear estimator of the regression function in a nonparametric regression model. In the Bayesian sampling approach, the error density is approximated by a location-mixture density of Gaussian densities with means the individual errors and variance a constant parameter. This mixture density has the form of a kernel density estimator of errors and is referred to as the kernel-form error density (c.f. Zhang, X., M. L. King, and H. L. Shang. 2014. “A Sampling Algorithm for Bandwidth Estimation in a Nonparametric Regression Model with a Flexible Error Density.” Computational Statistics & Data Analysis 78: 218–34.). While (Zhang, X., M. L. King, and H. L. Shang. 2014. “A Sampling Algorithm for Bandwidth Estimation in a Nonparametric Regression Model with a Flexible Error Density.” Computational Statistics & Data Analysis 78: 218–34) use the local constant (also known as the Nadaraya-Watson) estimator to estimate the regression function, we extend this to the local linear estimator, which produces more accurate estimation. The proposed investigation is motivated by the lack of data-driven methods for simultaneously choosing bandwidths in the local linear estimator of the regression function and kernel-form error density. Treating bandwidths as parameters, we derive an approximate (pseudo) likelihood and a posterior. A simulation study shows that the proposed bandwidth estimation outperforms the rule-of-thumb and cross-validation methods under the criterion of integrated squared errors. The proposed bandwidth estimation method is validated through a nonparametric regression model involving firm ownership concentration, and a model involving state-price density estimation.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"55 - 71"},"PeriodicalIF":0.8,"publicationDate":"2020-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2018-0050","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45183100","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models 参数模型中具有时变边际分布的常截面相关性检验
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-10-28 DOI: 10.1515/snde-2019-0043
Matthias Kaldorf, Dominik Wied
{"title":"Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models","authors":"Matthias Kaldorf, Dominik Wied","doi":"10.1515/snde-2019-0043","DOIUrl":"https://doi.org/10.1515/snde-2019-0043","url":null,"abstract":"Abstract This paper proposes parametric two-step procedures for assessing the stability of cross-sectional dependency measures in the presence of potential breaks in the marginal distributions. The procedures are based on formerly proposed sup-LR tests in which restricted and unrestricted likelihood functions are compared with each other. First, we show theoretically that standard asymptotics do not hold in this situation. We propose a suitable bootstrap scheme and derive test statistics in different commonly used settings. The properties of the test statistics and precision of the associated change-point estimator are analysed and compared with existing non-parametric methods in various Monte Carlo simulations. These studies reveal advantages in test power for higher-dimensional data and an almost uniform superiority of the sup-LR test in terms of precision of the change-point estimator. We then apply this method to equity returns of European banks during the financial crisis of 2008.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"1 - 24"},"PeriodicalIF":0.8,"publicationDate":"2020-10-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0043","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49652123","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Choosing between identification schemes in noisy-news models 噪声新闻模型中识别方案的选择
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-10-26 DOI: 10.1515/SNDE-2020-0016
J. Chan, Eric Eisenstat, G. Koop
{"title":"Choosing between identification schemes in noisy-news models","authors":"J. Chan, Eric Eisenstat, G. Koop","doi":"10.1515/SNDE-2020-0016","DOIUrl":"https://doi.org/10.1515/SNDE-2020-0016","url":null,"abstract":"Abstract This paper is about identifying structural shocks in noisy-news models using structural vector autoregressive moving average (SVARMA) models. We develop a new identification scheme and efficient Bayesian methods for estimating the resulting SVARMA. We discuss how our identification scheme differs from the one which is used in existing theoretical and empirical models. Our main contributions lie in the development of methods for choosing between identification schemes. We estimate specifications with up to 20 variables using US macroeconomic data. We find that our identification scheme is preferred by the data, particularly as the size of the system is increased and that noise shocks generally play a negligible role. However, small models may overstate the importance of noise shocks.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"26 1","pages":"99 - 136"},"PeriodicalIF":0.8,"publicationDate":"2020-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2020-0016","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46177042","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation 长期记忆模型和预测:来自美国历史上一系列通货膨胀的证据
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-10-26 DOI: 10.1515/SNDE-2018-0116
H. Boubaker, G. Canarella, Rangan Gupta, S. Miller
{"title":"Long-memory modeling and forecasting: evidence from the U.S. historical series of inflation","authors":"H. Boubaker, G. Canarella, Rangan Gupta, S. Miller","doi":"10.1515/SNDE-2018-0116","DOIUrl":"https://doi.org/10.1515/SNDE-2018-0116","url":null,"abstract":"Abstract We report the results of applying several long-memory models to the historical monthly U.S. inflation rate series and analyze their out-of-sample forecasting performance over different horizons. We find that the time-varying approach to estimating inflation persistence outperforms the models that assume a constant long-memory process. In addition, we examine the link between inflation persistence and exchange rate regimes. Our results support the hypothesis that floating exchange rates associate with increased inflation persistence. This finding, however, is less pronounced during the era of the Great Moderation and the Federal Reserve System’s commitment to inflation targeting.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"289 - 310"},"PeriodicalIF":0.8,"publicationDate":"2020-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2018-0116","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44181502","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Buffered vector error-correction models: an application to the U.S. Treasury bond rates 缓冲矢量误差修正模型:在美国国债利率中的应用
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-10-06 DOI: 10.1515/snde-2019-0047
Renjie Lu, P. Yu
{"title":"Buffered vector error-correction models: an application to the U.S. Treasury bond rates","authors":"Renjie Lu, P. Yu","doi":"10.1515/snde-2019-0047","DOIUrl":"https://doi.org/10.1515/snde-2019-0047","url":null,"abstract":"Abstract This paper extends the buffered autoregressive model to the buffered vector error-correction model (VECM). Least squares estimation and a reduced-rank estimation are discussed, and the consistency of the estimators on the delay parameter and threshold parameters is derived. We also propose a supWald test for the presence of buffer-type threshold effect. Under the null hypothesis of no threshold, the supWald test statistic converges to a function of Gaussian process. A bootstrap method is proposed to obtain the p-value for the supWald test. We investigate the effectiveness of our methods by simulation studies. We apply our model to study the monthly Federal bond rates of United States. We find the evidences of buffering regimes and the asymmetric error-correction effect.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"267 - 287"},"PeriodicalIF":0.8,"publicationDate":"2020-10-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0047","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44722129","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Modeling time-varying parameters using artificial neural networks: a GARCH illustration 用人工神经网络建模时变参数:GARCH图解
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-10-01 DOI: 10.1515/snde-2019-0091
M. N. Donfack, A. Dufays
{"title":"Modeling time-varying parameters using artificial neural networks: a GARCH illustration","authors":"M. N. Donfack, A. Dufays","doi":"10.1515/snde-2019-0091","DOIUrl":"https://doi.org/10.1515/snde-2019-0091","url":null,"abstract":"Abstract We propose a new volatility process in which parameters vary over time according to an artificial neural network (ANN). We prove the process’s stationarity as well as the global identification of the parameters. Since ANNs require economic series as input variables, we develop a shrinkage approach to select which explanatory variables are relevant to forecast volatility. Empirically, the proposed model favorably compares with other flexible processes in terms of in-sample fit on six financial returns. It also delivers accurate short-term volatility predictions in terms of root mean squared errors and the predictive likelihood criterion. For long-term forecasts, it can be competitive with the Markov-switching generalized autoregressive conditional heteroskedastic (MS-GARCH) model if appropriate exogenous variables are used. Since our new type of time-varying parameter (TVP) process is based on a universal approximator, the approach can readily revisit and potentially improve many standard TVP applications.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"311 - 343"},"PeriodicalIF":0.8,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/snde-2019-0091","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43851702","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Selecting between causal and noncausal models with quantile autoregressions 使用分位数自回归在因果模型和非因果模型之间进行选择
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-09-19 DOI: 10.1515/SNDE-2019-0044
Alain Hecq, Li Sun
{"title":"Selecting between causal and noncausal models with quantile autoregressions","authors":"Alain Hecq, Li Sun","doi":"10.1515/SNDE-2019-0044","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0044","url":null,"abstract":"Abstract We propose a model selection criterion to detect purely causal from purely noncausal models in the framework of quantile autoregressions (QAR). We also present asymptotics for the i.i.d. case with regularly varying distributed innovations in QAR. This new modelling perspective is appealing for investigating the presence of bubbles in economic and financial time series, and is an alternative to approximate maximum likelihood methods. We illustrate our analysis using hyperinflation episodes of Latin American countries.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"393 - 416"},"PeriodicalIF":0.8,"publicationDate":"2020-09-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0044","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67095710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Forecasting Japanese inflation with a news-based leading indicator of economic activities 基于新闻的经济活动领先指标预测日本通胀
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-09-18 DOI: 10.1515/SNDE-2019-0117
Keiichi Goshima, H. Ishijima, M. Shintani, Hiroki Yamamoto
{"title":"Forecasting Japanese inflation with a news-based leading indicator of economic activities","authors":"Keiichi Goshima, H. Ishijima, M. Shintani, Hiroki Yamamoto","doi":"10.1515/SNDE-2019-0117","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0117","url":null,"abstract":"Abstract We construct business cycle indexes based on the daily Japanese newspaper articles and estimate the Phillips curve model to forecast inflation at a daily frequency. We find that the news-based leading indicator, constructed from the topic on future economic conditions, is useful in forecasting the inflation rate in Japan.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"111 - 133"},"PeriodicalIF":0.8,"publicationDate":"2020-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0117","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47457960","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Variable elasticity of substitution and economic growth in the neoclassical model 新古典模型中的可变替代弹性与经济增长
IF 0.8 4区 经济学
Studies in Nonlinear Dynamics and Econometrics Pub Date : 2020-09-18 DOI: 10.1515/SNDE-2019-0145
Manuel A. Gómez
{"title":"Variable elasticity of substitution and economic growth in the neoclassical model","authors":"Manuel A. Gómez","doi":"10.1515/SNDE-2019-0145","DOIUrl":"https://doi.org/10.1515/SNDE-2019-0145","url":null,"abstract":"Abstract We study the effect of factor substitutability in the neoclassical growth model with variable elasticity of substitution. We consider two otherwise identical economies differing uniquely in their initial factor substitutability with Variable-Elasticity-of-Substitution (VES), Sobelow or Sigmoidal technologies. If the initial capital per capita is below its steady-state value, the economy with the higher initial elasticity of substitution will feature a higher steady-state income and capital per capita irrespective of whether the production technology is VES, Sobelow or Sigmoidal. Numerical results are provided to compare the effect of a higher elasticity of substitution in the Constant-Elasticity-of-Substitution (CES) model versus the models with variable-elasticity-of-substitution technology.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":"25 1","pages":"345 - 364"},"PeriodicalIF":0.8,"publicationDate":"2020-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/SNDE-2019-0145","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43248383","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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