Article history: Received 20 June 2014 Received in revised form 25 September 2014 Accepted 26 September 2014 Available online 5 October 2014 This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil ...

We consider the modelling of volatility on closely related markets. Univariate fractional Ž . volatility FIGARCH models are now standard, as are multivariate GARCH models. In this paper, we adopt a combination of the two methodologies. There is as yet little consensus on the methodology for testing for fractional cointegration. The contribution of this paper is to demonstrate the feasibility of...

Several classical time series models can be written as a regression model of the form Yt = m(Xt) + σ(Xt)εt, where (Xt, Yt), t = 0,±1,±2, . . ., is a bivariate strictly stationary process. Some of those models, such as ARCH or GARCH models, share the property of proportionality of the regression function, m, and the scale function, σ. In this article, we present a procedure to test for this feat...

This paper derives conditions for the existence of fourth moments of multivariate GARCH processes in the general vector specification and gives explicit results for the fourth moments and autocovariances of the squares and cross-products. Results are provided for the kurtosis and co-kurtosis between components. Applications of the results include the definition of impulse response functions for...

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the GARCH model with an unknown conditional error density, which we approximate by a mixture of Gaussian densities centered at individual errors and scaled by a common standard deviation. This mixture density has the form of a kernel density estimator of the errors with its bandwidth being the standard deviat...

In the empirical analysis of nancial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of the alternative models for the response of the conditional (co{)variances to independent shocks. The impulse response ...

Time-varying risk premia traditionally have been associated with the empirical fact that conditional second moments are time-varying. This paper additionally examines another possible source for time-varying risk premia, namely the market price of risk (lambda). For utility functions that do not imply constant risk aversion measures, the market price of risk will in general change over time. We...

China’s introduction of CSI300 futures in 2010 has aroused widespread attention to whether the stock index futures market has effectively stabilized price fluctuations of its spot market in the past four years. Since the prices of CSI300 futures and CSI300 contain numerous noises and fluctuate drastically over time, this paper applies discrete wavelet transform to denoise these series by decomp...

This study employed the Hinich portmanteau bicorrelation test (Hinich and Patterson, 1995; Hinich, 1996) as a diagnostic tool to determine the adequacy of the GARCH model in describing the returns generating process of Malaysia’s stock market, specifically the Kuala Lumpur Stock Exchange Composite Index (KLSE CI). The bicorrelation results demonstrated that, while GARCH model is commonly applie...

This paper investigates the so-called one-step local quasi–maximum likelihood estimator for the unit root process with GARCH~1,1! errors+ When the scaled conditional errors ~the ratio of the disturbance to the conditional standard deviation! follow a symmetric distribution, the asymptotic distribution of the estimated unit root is derived only under the second-order moment condition+ It is show...