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A Simple Test for Spurious Regressions
Noriega, Antonio E.; Ventosa-Santaularia, Daniel - School of Economics and Management, University of Aarhus - 2011
The literature on spurious regressions has found that the t-statistic for testing the null of no relationship between two independent variables diverges asymptotically under a wide variety of nonstationary data generating processes for the dependent and explanatory variables. This paper...
Persistent link: https://www.econbiz.de/10009147394
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On the identification of fractionally cointegrated VAR models with the F(d) condition
Magistris, Paolo Santucci de; Carlini, Federico - School of Economics and Management, University of Aarhus - 2014
This paper discusses identification problems in the fractionally cointegrated system of Johansen (2008) and Johansen and Nielsen (2012). It is shown that several equivalent re-parameterizations of the model associated with different fractional integration and cointegration parameters may exist...
Persistent link: https://www.econbiz.de/10011019688
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The Properties of Model Selection when Retaining Theory Variables
Hendry, David F.; Johansen, Søren - School of Economics and Management, University of Aarhus - 2011
Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...
Persistent link: https://www.econbiz.de/10009359474
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Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?
Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2011
Yes. We use intraday data to compute weekly realized variance, skewness and kurtosis for individual equities and assess … negative relationship between realized skewness and next week?s stock returns, and a positive relationship between realized … trading strategy that buys stocks in the lowest realized skewness decile and sells stocks in the highest realized skewness …
Persistent link: https://www.econbiz.de/10009385751
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Forecasting with Option Implied Information
Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011
volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …
Persistent link: https://www.econbiz.de/10009385753
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Does Realized Skewness Predict the Cross-Section of Equity Returns?
Amaya, Diego; Christoffersen, Peter; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
We use intraday data to compute weekly realized variance, skewness, and kurtosis for equity returns and study the … skewness and next week?'s stock returns. A trading strategy that buys stocks in the lowest realized skewness decile and sells … stocks in the highest realized skewness decile generates an average weekly return of 24 basis points with a t-statistic of 3 …
Persistent link: https://www.econbiz.de/10010851291
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Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices
Christoffersen, Peter; Jacobs, Kris; Mimouni, Karim - School of Economics and Management, University of Aarhus - 2007
Most recent empirical option valuation studies build on the affine square root (SQR) stochastic volatility model. The SQR model is a convenient choice, because it yields closed-form solutions for option prices. However, relatively little is known about the resulting biases. We investigate...
Persistent link: https://www.econbiz.de/10005787563
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Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy
Callot, Laurent; Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2014
This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero.We...
Persistent link: https://www.econbiz.de/10011252640
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Nonparametric Detection and Estimation of Structural Change
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2011
We propose a nonparametric approach to the estimation and testing of structural change in time series regression models. Under the null of a given set of the coefficients being constant, we develop estimators of both the nonparametric and parametric components. Given the estimators under null...
Persistent link: https://www.econbiz.de/10009003125
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Bias-correction in vector autoregressive models: A simulation study
Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2011
We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that this simple...
Persistent link: https://www.econbiz.de/10009018134