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1answer
77 views

Standard Stochastic Volatility Models VS Moving Average Stochastic Volatility Model

Hi... I am comparing the log-volatility of two SV models with an application to MATLAB. Since I am a rookie in this field, I do not know if I am wrong in interpreting the graph. In my opinion the only ...
0answers
80 views

Fourth moment of ARCH(2)

I am studying the ARCH(2) process given by $$X_t = \sqrt{h_t} \varepsilon_t$$ where $$h_t = \alpha_0 + \alpha_1 X_{t-1} ^2 + \alpha_2 X_{t-2} ^2$$ and $\varepsilon_t$ follows $N(0,1)$. ...
0answers
92 views

Comprehensive List of Regime Switching/ Change Point Models

I am looking for a comprehensive list of regime switching/change point models/techniques which can be used to model different regimes / change points in financial time series. What I found so far are: ...
0answers
45 views

Econometrics - Granger Causality

Suppose we have two time series, if one has autocorrelations and the other is non stationary how do we test whether they Granger cause a returns series?
0answers
27 views

Machine Learning Munging - order of transforms? + adding in econometric tests?

I have a list of possible transforms, and I've read some confusing/contradictory stuff about the preferred order in which these operations are performed. Maybe 1) the order is sometimes amorphous, ...
0answers
76 views

How to fit exogenous + GARCH Model In Python?

I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model. In an ...
0answers
90 views

How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?

I did some analysis for CAC 40, the French market benchmark, for the period 2005-2014, and I tried to fit the data with a GJR(1,1) model in MATLAB. Then some warning showed Lower bound ...
0answers
64 views

MLE estimate of normal distribution

Probably a naive question. I am quoting this from Greene's econometrics book: "The occasional statement that the properties of the MLE are only optimal in large samples is not true, however. It can ...
0answers
20 views

Standard errors clustered along the time dimension in pooled panel logit model

I'm trying to estimate a logit model on pooled panel data set (unit of observation is firm-year). My dependant variable is default indicator and I have several macro variables as independant variables....
0answers
59 views

How to value a portfolio of non-mature consumer loans?

I'm looking for the best way to value a portfolio of consumer loans that have NOT reached maturity and for which I do observe the payment/default history to date? I'm working with a large database of ...
0answers
400 views

Autoregressive distributed lag models ADL(p,q) howto in preferably matlab (stata/R/python/C# etc)

Could anyone provide me the details of how to determine the lag order of the distributed lags for an ADL(p,q) model in Matlab or another statistical package (and very much preferably in combination ...
0answers
83 views

Max Likelihood via Marquardt Optimisation

I asked a related question here: How to apply Levenberg Marquardt to Max Likelihood Estimation I tried the approach suggested it works for some of the parameters but not the variances. I spoke to ...
0answers
78 views

Computing the Coefficients for the Unemployment, Inflation, Trade Balance Equation

Based on S. Nickell's theory on how to relate trade deficit, unemployment, inflation, I tried to fit the data to the formula Nickell presents,  [ \alpha_1 + \delta_1 \alpha_{12}]u + \alpha_2 \...
0answers
50 views

LSTM w/dropout Peer-reviewed or other authoritative lit for time-series/financial econometrics/Teh stock price/volatility/etc

So, I've been looking on Google Scholar for stuff using Long Short-Term Memory neural nets for time series. I was inspired by the interview with this 2nd place finisher in a recent Kaggle major: http:...
0answers
38 views

White's reality check p-value

I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ...
0answers
53 views

Regressing NYSE returns: Lagged intercept term & efficient market hypothesis

By performing the following OLS time series regression, $y_t$ = $\beta_0$ + $\beta_1$*$y_{t-1}$ + $\beta_0$*$y_{t-1}^2$ + $\epsilon$ I cannot reject the null hypothesis that b1=b2=0. However, ...