Serial independence tests for innovations of conditional mean and variance models

Test ◽  
2016 ◽  
Vol 27 (1) ◽  
pp. 3-26 ◽  
Author(s):  
Kilani Ghoudi ◽  
Bruno Rémillard
Keyword(s):  
Independence Tests ◽  
Conditional Mean ◽  
Serial Independence ◽  
Mean And Variance

First-order autoregressive logistic processes

1993 ◽  
Vol 30 (2) ◽  
pp. 467-470 ◽  
Author(s):  
C. H. Sim
Keyword(s):  
Joint Distribution ◽  
Full Range ◽  
Correlation Structure ◽  
Conditional Mean ◽  
First Order ◽  
Proposed Model ◽  
Mean And Variance

We propose an AR(1) model that can be used to generate logistic processes. The proposed model has simple probability and correlation structure that can accommodate the full range of attainable correlation. The correlation structure and the joint distribution of the proposed model are given, as well as their conditional mean and variance.

Response Asymmetries in Asian Stock Markets

2005 ◽  
Vol 08 (04) ◽  
pp. 637-657 ◽  
Author(s):  
Shuh-Chyi Doong ◽  
Sheng-Yung Yang ◽  
Thomas C. Chiang
Keyword(s):  
Stock Returns ◽  
Conditional Variance ◽  
Autocorrelation Coefficient ◽  
Conditional Mean ◽  
Asymmetric Effects ◽  
The Past ◽  
The Us ◽  
Mean And Variance ◽  
Conditional Variance Models ◽  
The Impact

This paper examines autocorrelation and cross-autocorrelation patterns for selected Asian stock returns. Special attention is given to examination of Asian stock returns and the impact on them of the past information. By employing a class of asymmetric specification of conditional mean and conditional variance models, we find the autocorrelation coefficient to be negative for the Japanese market and positive for the rest of the Asian markets studied. Our findings suggest that the Asian markets respond sensitively to the US market, especially on the down side. The asymmetric effects are found to be present in both mean and variance equations. The evidence is consistent with behavior in which investors in Asian markets tend to react more significantly to negative stock news originating from US sources than they do to positive news.

THE ZERO LOWER BOUND AND CRUDE OIL AND FINANCIAL MARKETS SPILLOVERS

2016 ◽  
Vol 22 (3) ◽  
pp. 654-665 ◽  
Author(s):  
Apostolos Serletis ◽  
Libo Xu
Keyword(s):  
Monetary Policy ◽  
Lower Bound ◽  
Financial Markets ◽  
Crude Oil ◽  
Zero Lower Bound ◽  
Conditional Mean ◽  
Volatility Spillovers ◽  
Dummy Variable ◽  
Oil Market ◽  
Mean And Variance

We investigate mean and volatility spillovers between the crude oil market and the debt, stock, and foreign exchange markets. In doing so, we estimate a four-variable VARMA–GARCH model with a BEKK representation and also examine the possible effects of monetary policy at the zero lower bound by including a dummy variable in both the conditional mean and variance equations. We find that the crude oil market and the financial markets are tightly interconnected and that monetary policy at the zero lower bound has strengthened their linkages.

First-order autoregressive logistic processes

1993 ◽  
Vol 30 (02) ◽  
pp. 467-470 ◽  
Author(s):  
C. H. Sim
Keyword(s):  
Joint Distribution ◽  
Full Range ◽  
Correlation Structure ◽  
Conditional Mean ◽  
First Order ◽  
Proposed Model ◽  
Mean And Variance

We propose an AR(1) model that can be used to generate logistic processes. The proposed model has simple probability and correlation structure that can accommodate the full range of attainable correlation. The correlation structure and the joint distribution of the proposed model are given, as well as their conditional mean and variance.

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