Temporal aggregation of GARCH processes
Article Abstract:
A low frequency model has been developed from a GARCH model of assumed high frequency in a study which is mainly limited to parameter properties in variance and mean equations. The high frequency mean equation can have an impact on a low frequency GARCH process, and it is possible to identify parameters for high frequency GARCH models using low frequency data. Rescaled innovations can no longer be taken as independent, but rather, this is contingent on the frequency of available data.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
Signalling and renegotiation in contractual relationships
Article Abstract:
Renegotiation in contract determination models is examined to assess the robustness of previous findings. Where one-shot signalling games are concerned, there may still be distortions in executed contracts even when the contracting parties have no power to avoid renegotiation. The study also suggests that equilibrium outcomes are contingent on the priors of the uninformed party, despite separation of executed contracts. Trade may thus be affected by pessimistic priors.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
Implied probabilities in GMM estimators
Article Abstract:
Distribution functions are examined in this study and an optimal GMM estimator is provided using methods which move away from the traditional way of calculating distribution functions. Traditional methods take as given that distribution functions are part of a group parameterized using a vector which is finite in terms of dimensions, but this is not taken as given in this study. GMM is a major example of a type of analogy principle and has been developed by Hansen.
Publication Name: Econometrica
Subject: Mathematics
ISSN: 0012-9682
Year: 1993
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: The approximation of long-memory processes by an ARMA model. Selection and estimation of component models for seasonal time series
- Abstracts: Evaluating the rationality of fixed-event forecasts. Cross-correlations and predictability of stock returns. Evaluating the predictive accuracy of volatility models
- Abstracts: The approximation of a strong perfect equilibrium in a discounted supergame. Computability and randomness of Nash equilibrium in infinite games
- Abstracts: The maximum and minimum of primary forecasts. The uses and abuses of 'consensus' forecasts
- Abstracts: A stopping rule for the computation of generalized method of moments estimator. The limiting distribution of the maximum rank correlation estimator