Results 1  10
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686
Statistical Analysis of Cointegrated Vectors
 Journal of Economic Dynamics and Control
, 1988
"... We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number of dimen ..."
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Cited by 2749 (12 self)
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We consider a nonstationary vector autoregressive process which is integrated of order 1, and generated by i.i.d. Gaussian errors. We then derive the maximum likelihood estimator of the space of cointegration vectors and the likelihood ratio test of the hypothesis that it has a given number
Modeling and Forecasting Realized Volatility
, 2002
"... this paper is built. First, although raw returns are clearly leptokurtic, returns standardized by realized volatilities are approximately Gaussian. Second, although the distributions of realized volatilities are clearly rightskewed, the distributions of the logarithms of realized volatilities are a ..."
Abstract

Cited by 549 (50 self)
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: a fractionallyintegrated Gaussian vector autoregression (VAR) . Importantly, our approach explicitly permits measurement errors in the realized volatilities. Comparing the resulting volatility forecasts to those obtained from currently popular daily volatility models and more complicated high
Testing for Common Trends
 Journal of the American Statistical Association
, 1988
"... Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix ..."
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Cited by 464 (7 self)
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has k unit roots and n k distinct stationary linear combinations. Our proposed tests can be viewed alternatively as tests of the number of common trends, linearly independent cointegrating vectors, or autoregressive unit roots of the vector process. Both of the proposed tests are asymptotically
Measuring the information content of stock trades
 Journal of Finance
, 1991
"... This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE is ..."
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Cited by 469 (11 self)
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This paper suggests that the interactions of security trades and quote revisions be modeled as a vector autoregressive system. Within this framework, a trade's information effect may be meaningfully measured as the ultimate price impact of the trade innovation. Estimates for a sample of NYSE
Model selection in partially nonstationary vector autoregressive processes with reduced rank structure,”Journal of Econometrics
, 1999
"... are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has ac ..."
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Cited by 34 (9 self)
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are preliminary materials circulated to stimulate discussion and critical comment. Requests for single copies of a Paper will be filled by the Cowles Foundation within the limits of the supply. References in publications to Discussion Papers (other than mere acknowledgment by a writer that he has access to such unpublished material) should be cleared with the author to
Chapter 8 VECTOR AUTOREGRESSION TECHNIQUES
"... This chapter discusses econometric techniques for vector autoregressions (VAR). In most cases, the variables in VAR are assumed to be stationary. 1 Let yt be an ndimensional vector stochastic process that is covariance stationary. Because yt is covariance stationary, it has a Wold representation: ( ..."
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This chapter discusses econometric techniques for vector autoregressions (VAR). In most cases, the variables in VAR are assumed to be stationary. 1 Let yt be an ndimensional vector stochastic process that is covariance stationary. Because yt is covariance stationary, it has a Wold representation
Impulse Response Analysis in Infinite Order Cointegrated Vector Autoregressive Processes
 Journal of Econometrics
, 1995
"... Various types of impulse responses have been used for interpreting finite order vector autoregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, finite order VAR processes are regarded as rough approximations to the actual data generation process at be ..."
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Cited by 10 (3 self)
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Various types of impulse responses have been used for interpreting finite order vector autoregessive (VAR) models in the stationary as well as the nonstationary cointegrated case. In practice, finite order VAR processes are regarded as rough approximations to the actual data generation process
FINITESAMPLE INFERENCE FOR STATIONARY AND NONSTATIONARY AUTOREGRESSIVE PROCESSES
, 2000
"... Ce cahier a également été publié par le Centre interuniversitaire de recherche en économie quantitative (CIREQ) sous le numéro 122000. ..."
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Ce cahier a également été publié par le Centre interuniversitaire de recherche en économie quantitative (CIREQ) sous le numéro 122000.
Threshold autoregression with a unit root
 Econometrica
, 2001
"... This paper develops an asymptotic theory of inference for an unrestricted tworegime threshold autoregressive Ž TAR. model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and suggest ..."
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Cited by 109 (1 self)
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and distribution theory allow for the joint consideration of nonlinearity Ž thresholds. and nonstationary Žunit roots.. Our limit theory is based on a new set of tools that combine unit root asymptotics with empirical process methods. We work with a particular twoparameter empirical process that converges weakly
Results 1  10
of
686