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Estimation d'un modèle TIMA avec asymétrie contemporaine par inférence indirecte

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  • Catherine Bruneau
  • Amine Lahiani

Abstract

This 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 Info

Paper provided by University of Paris West - Nanterre la Défense, EconomiX in its series EconomiX Working Papers with number 2006-17.

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Length: 19 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:drm:wpaper:2006-17

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  1. Imad A. Moosa & Param Silvapulle & Mervyn Silvapulle, 2003. "Testing for Temporal Asymmetry in the Price-Volume Relationship," Bulletin of Economic Research, Wiley Blackwell, vol. 55(4), pages 373-389, October.
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  9. Babsiri, Mohamed El & Zakoian, Jean-Michel, 2001. "Contemporaneous asymmetry in GARCH processes," Journal of Econometrics, Elsevier, vol. 101(2), pages 257-294, April.
  10. Beaudry, Paul & Koop, Gary, 1993. "Do recessions permanently change output?," Journal of Monetary Economics, Elsevier, vol. 31(2), pages 149-163, April.
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  12. Tauchen, George E. & Gallant, A. Ronald, 1995. "Which Moments to Match," Working Papers 95-20, Duke University, Department of Economics.
  13. 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.
  14. Oscar Martin & Jesus Gonzalo, 2004. "Threshold Integrated Moving Average Models (Does Size Matter? Maybe So)," Econometric Society 2004 North American Winter Meetings 145, Econometric Society.
  15. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  16. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
  17. repec:cup:etheor:v:12:y:1996:i:4:p:657-81 is not listed on IDEAS
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