Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte
AbstractThis paper implements a simulation-based method for estimating the parameters of Threshold Integrated Moving Average Models with contemporaneous asymmetry. Among many simulation-based methods we use the Indirect Inference method (II) with an autoregressive model as auxiliary model. To investigate the properties of the estimator in finite samples we refer to Monte Carlo methods. We apply our framework to the daily CAC40 index returns series and we find that this series exhibits an asymmetric response to shocks around a threshold.
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Bibliographic InfoPaper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2006-17.
Length: 19 pages
Date of creation: 2006
Date of revision:
Other versions of this item:
- Catherine Bruneau & Amine Lahiani, 2006. "Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 142(IV), pages 479â500, December.
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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