1,720,972 research outputs found
MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
No full textIn this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the Skew-normal and the normal densities as special cases so that specification tests are easily performed. Inference is conducted under a Bayesian framework using Markov Chain MonteCarlo methods for computing the posterior distributions of the parameters. More precisely, our Gibbs-MH updating scheme makes use of the Delayed Rejection Metropolis-Hastings methodology as proposed by Tierney and Mira (1999), and of Adaptive-Rejection Metropolis sampling. We apply this methodology to a data set of daily and weekly exchange rates. Our results suggest that daily returns are mostly symmetric with fat-tailed distributions while weekly returns exhibit both significant asymmetry and fat tails
The fragility of the KPSS stationarity test
Full text linkKPSS stationarity test, Size distortion, Nearly-white noise nearly integrated model,
Is There Trend Reversion in Purchasing Power Parity?
No full textThis study presents some empirical evidence on purchasing power parity (PPP) using residualbased co-integration tests. Engle and Granger's (1987) tests and the ratio of the variance of higher-order differences to the variance of the first difference of the residuals of the cointegrating regression are used. Monthly data, over a span of 30 years, do not provide any empirical support to the theory. Conversely, in the annual data long-run equilibrium tendencies are evident. Since PPP has been widely used to provide an anchor for the equilibrium exchange rate, our results indicate that such an assumption is not completely inadequate. © 1991
Purchasing Power Parity During the 1920's
No full textIn this note the Purchasing Power Parity theory during the 1920s is tested using the co-integration approach. The results do not support the theory. Although exchange rates and prices are non-stationary in the levels, no equilibrium relationship holds among them. © 1989
Fully modified estimation of cointegrating vectors via VAR prewhitening: a simulation study
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