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Nonstationary Nonlinear Heteroskedasticity : An Alternative to ARCH
http://hdl.handle.net/2261/2362
http://hdl.handle.net/2261/23623be8273d-7e0e-49f7-a75a-f44a76448ef5
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| タイトル | ||||||
| タイトル | Nonstationary Nonlinear Heteroskedasticity : An Alternative to ARCH | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conditional heteroskedasticity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | ARCH | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | nonstationarity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | non-linearity | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | volatility clustering | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | leptokurticity | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
Park, Joon Y.
× Park, Joon Y. |
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| 著者所属 | ||||||
| 著者所属 | Seoul National University | |||||
| 著者所属 | ||||||
| 著者所属 | CIRJE, University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | In this paper, we consider time series with the conditional heteroskedasticities that are given by nonlinear functions of integrated processes. Such time series are said to have nonlinear nonstationary heteroskedasticity (NNH), and the functions generating conditional heterogeneity are called heterogeneity generating functions (HGF's). Various statistical properties of time series with NNH are investigated for a wide class of HGF's. For NNH models with a variety of HGF's, volatility clustering and leptokurticity, which are common features of ARCH type models, are manifest. In particular, it is shown that the sample autocorrelations of their squared processes vanish only very slowly, or do not even vanish at all, in the limit. Volatility clustering is therefore well expected. The NNH models with certain types of HGF's indeed have sample characteristics that are very similar to those of ARCH type models. Moreover, the sample kurtosis of the NNH model either diverges or has a stable limiting distribution with support truncated on the left by the kurtosis of the innovations. This would well explain the presence of leptokurticity in many observed time series data. To illustrate the empirical relevancy of our model, we analyze the spreads between the forward and spot rates of USD/DM exchange rates. It is found that the conditional variances of the spreads can be well modeled as a nonlinear function of the levels of the spot rates. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | Journal of Econometrics, 110, 2002, p. 383-415. 掲載予定. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CF-86, 発行日 2000-07 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 330 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2000/2000cf86.pdf | |||||
