Results 1  10
of
105
Generalized Autoregressive Conditional Heteroskedasticity
 JOURNAL OF ECONOMETRICS
, 1986
"... A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametri ..."
Abstract

Cited by 1521 (23 self)
 Add to MetaCart
A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented.
The Forecast Quality of CBOE Implied Volatility Indexes. Working
, 2003
"... (CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor’s 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to ..."
Abstract

Cited by 18 (2 self)
 Add to MetaCart
(CBOE) implied volatility indexes based on the Nasdaq 100 and Standard and Poor’s 100 and 500 stock indexes. We find that the forecast quality of CBOE implied volatilities for the S&P 100 (VXO) and S&P 500 (VIX) has improved since 1995. Implied volatilities for the Nasdaq 100 (VXN) appear to provide even higher quality forecasts of future volatility. We further find that attenuation biases induced by the econometric problem of errors in variables appear to have largely disappeared from CBOE
Kalman Filtering Estimation of Unobserved Rational Expectations with an Application to the German Hyperinflation
 Journal of Econometrics
, 1982
"... The assumption that rational expectations always lie on a convergent path is subject to an empirical test using the German hyperinflation data. The estimation technique employs a Kalman filtering algorithm. After presenting a brief background for the convergent expectations problem and a derivation ..."
Abstract

Cited by 10 (0 self)
 Add to MetaCart
The assumption that rational expectations always lie on a convergent path is subject to an empirical test using the German hyperinflation data. The estimation technique employs a Kalman filtering algorithm. After presenting a brief background for the convergent expectations problem and a derivation of the various model specifications, a generalized expectations model and its attendant Kalman filtering estimation technique are discussed. Additional estimation details and empirical results a;e then presented. Based on an assumption of normally distributed errors, the null hypothesis of convergent paths is rejected in all situations involving a deterministic specification of the evolution of the unobserved parameter which characterizes the convergent path. The same null hypothesis is rejected in four of the six cases corresponding to a stochastic specification of the evolution of the unobserved parameter which characterizes the convergent path. A discussion of these findings, their economic significance, and suggestions for further research concludes the paper. 1.
Social Employment of Welfare Recipients in Belgium: An Evaluation
, 2000
"... In Belgium, welfare agencies receive a subsidy to employ welfare recipients for a period sufficiently long to entitle them to unemployment benefits. This work experience program is called Social Employment (SE). We investigate the effect of SE on the exit rate from welfare. We propose a groupin ..."
Abstract

Cited by 9 (4 self)
 Add to MetaCart
In Belgium, welfare agencies receive a subsidy to employ welfare recipients for a period sufficiently long to entitle them to unemployment benefits. This work experience program is called Social Employment (SE). We investigate the effect of SE on the exit rate from welfare. We propose a grouping/IV estimator of the SE effect that eliminates selection bias. The estimator is consistent, even if the selection into SE depends on the average unobserved characteristics of welfare recipients in a region and in a welfare duration interval. The empirical analysis suggests that there is creaming in the selection process. Without correction for selectivity we find that SE reduces welfare dependence, but after correction this conclusion is reversed. These results are consistent with the adverse incentives faced by the welfare agencies.
TwoPass CrossSectional Regression of Factor Pricing Models: Minimum Distance Approach, Working Paper
, 1999
"... The twopass (TP) crosssectional regression method has been widely used to evaluate linear factor pricing models. This paper examines the finitesample properties of this method when asset returns and factors are conditionally heteroskedastic and/or autocorrelated. Using minimum distance (MD) metho ..."
Abstract

Cited by 8 (0 self)
 Add to MetaCart
The twopass (TP) crosssectional regression method has been widely used to evaluate linear factor pricing models. This paper examines the finitesample properties of this method when asset returns and factors are conditionally heteroskedastic and/or autocorrelated. Using minimum distance (MD) method, we derive heteroskedasticityand/orautocorrelationrobust model specification test statistics and asymptotic variances of the TP risk premium estimates. We also derive optimal MD estimators that are asymptotically more efficient than other twopass estimators. Several findings are obtained from our simulation exercises. First, the model specification tests and ttests based on Shanken (1985, 1992) and the heteroskedasticityrobust MD method perform reasonably well in finite samples, unless asset returns are autocorrelated conditionally on factors and the number of assets analyzed is not too large. The model specification tests and ttests based on optimal MD method tend to overreject correct hypotheses, especially when autocorrelation is present in data and/or too many assets are analyzed. Second, the ttests based on nonoptimal twopass estimation often perform better than those based on optimal MD estimation. Third, the finitesample properties of TP or MD estimation are sensitive to what factors generate returns. Our results suggest that the TP or MD methods may be inappropriate for the analysis of the models with highly persistent factors.
Testing for Regression Coefficient Stability With a Stationary AR(1
 Alternative”, Review of Economics and Statistics
, 1985
"... A bstractWe discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process with unknown autoregressive parameter. Standard testing procedures are inappropriate since this parameter is i ..."
Abstract

Cited by 7 (2 self)
 Add to MetaCart
A bstractWe discuss the problem of testing for constant versus time varying regression coefficients. Our alternative hypothesis allows the coefficients to follow a stationary AR(1) process with unknown autoregressive parameter. Standard testing procedures are inappropriate since this parameter is identified only under the alternative. We propose a test statistic which is a function of a sequence of Score statistics, and depends only on the regressors and the OLS residuals. The distribution of the test statistic is discussed, power and size are investigated using Monte Carlo methods, and an empirical example investigating stability in the gold and silver markets is presented. I.
Interest rates, distribution and capital accumulation – A PostKaleckian perspective on the US and Germany*
"... We analyse the effects of interest rate variations on the rates of capacity utilisation, capital accumulation and profit in a simple postKaleckian distribution and growth model. This model gives rise to different potential accumulation regimes depending on the values of the parameters in the invest ..."
Abstract

Cited by 5 (3 self)
 Add to MetaCart
We analyse the effects of interest rate variations on the rates of capacity utilisation, capital accumulation and profit in a simple postKaleckian distribution and growth model. This model gives rise to different potential accumulation regimes depending on the values of the parameters in the investment, saving and distribution function. Estimating these core behavioural equations for the US and Germany in the period 19602007, we find significant and robust effects of interest payments with the expected sign in each of the equations. Our estimation results imply, both for the US and for Germany, that the effects of changes in the real longterm rate of interest on the equilibrium rates of capacity utilisation, capital accumulation and profits are characterised by the ‘normal regime’: Rising longterm real rates of interest cause falling rates of capacity utilisation, capital accumulation and profits, as well as redistribution at the expense of labour income and hence an increasing profit share in both countries.
2001, “Inflation and Economic Growth: Evidence from Four
 South Asian Countries”, AsiaPacific Development Journal
"... This paper seeks to examine the relationship between inflation and GDP ..."
Abstract

Cited by 4 (0 self)
 Add to MetaCart
This paper seeks to examine the relationship between inflation and GDP