Arbeitspapier
Modelling Economic High-Frequency Time Series
In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests for the estimated model are obtained using standardasymptotic distribution theory. We illustrate the actual modelling byapplying the STAR-STGARCH model family to two series of dailyobservations, the Swedish OMX index and the exchange rate JPY-USD.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 99-009/4
- Classification
-
Wirtschaft
- Subject
-
Schätztheorie
Zeitreihenanalyse
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Lundbergh, Stefan
Teräsvirta, Timo
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1999
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lundbergh, Stefan
- Teräsvirta, Timo
- Tinbergen Institute
Time of origin
- 1999
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