Modelling economic high-frequency time series with STAR-STGARCH models
AbstractIn 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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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 291.
Length: 48 pages
Date of creation: 18 Dec 1998
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Financial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification.;
Find related papers by JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-01-18 (All new papers)
- NEP-ECM-1999-01-18 (Econometrics)
- NEP-ETS-1999-01-18 (Econometric Time Series)
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- Kulp-Tåg, Sofie, 2007. "Short-Horizon Asymmetric Mean-Reversion and Overreactions: Evidence from the Nordic Stock Markets," Working Papers 524, Hanken School of Economics.
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- Chen, Cathy W.S. & Gerlach, Richard H. & Tai, Amanda P.J., 2008. "Testing for nonlinearity in mean and volatility for heteroskedastic models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 489-499.
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