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Modelling Economic High-Frequency Time Series

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Author Info
Stefan Lundbergh (Stockholm School of Economics)
Timo Teräsvirta () (Stockholm School of Economics)

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Abstract

In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification tests for the estimated model are obtained using standard asymptotic distribution theory. We illustrate the actual modelling by applying the STAR-STGARCH model family to two series of daily observations, the Swedish OMX index and the exchange rate JPY-USD.

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Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 99-009/4.

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Date of creation: 18 Feb 1999
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Handle: RePEc:dgr:uvatin:19990009

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  1. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 62(4), pages 639-61, October. [Downloadable!] (restricted)
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  2. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, vol. 64(2), pages 413-30, March. [Downloadable!] (restricted)
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  3. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
  4. Stefan Mittnik & Svetlozar Rachev, 1993. "Modeling asset returns with alternative stable distributions," Econometric Reviews, Taylor and Francis Journals, vol. 12(3), pages 261-330. [Downloadable!] (restricted)
  5. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
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  6. Nelson, Daniel B & Cao, Charles Q, 1992. "Inequality Constraints in the Univariate GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 229-35, April.
  7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May. [Downloadable!] (restricted)
  8. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June. [Downloadable!] (restricted)
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