Some reparameterizations of lag polynomials for dynamic analysis

Article Abstract:

A study has been conducted to develop a background analysis for testing for roots in lag polynomials. A number of reparameterizations of scalar lag polynomials were considered using the Augmented Dickley-Fuller unit root test as a starting point. Lag polynomials have been found to be useful in constructing relatively simple tests fo hypotheses of the presence of some factors in time series autoregressive models. Generalizations to the vector case were also considered where the zero coefficient property was replaced by one of singularity of a coefficient matrix.

Elasticity (Economics), Laguerre polynomials

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Some reparameterizations of lag polynomials for dynamic analysis

Article Abstract:

Scalar polynomial reparameterizations in the context of lag polynomials are examined. Roots used in the augmented Dickey-Fuller unit root test are taken as a starting point. Multivariate generalizations of test results are applied to vector autoregression models and comovement between systems component series. A relationship between unit root representation in the univariate scheme and cointegration in multivariate systems is determined.

Analysis

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Some evidence on option prices as predictors of volatility

Article Abstract:

Forecast efficiency of the estimation for option pricing formulas is studied using prices of Australian financial futures and currency options. Results indicate that option prices exhibit a tendency to overpredict changes in volatility and are excessively variable. Currency options are also found to be overstated in terms of volatility levels. This implies that the forecast efficiency theory does not apply in this case.

Forecasts and trends, Financial futures, Currency options, Efficient market theory

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