ORCID Profile
0000-0001-6371-771X
Current Organisations
Queensland University of Technology
,
Queensland University of Technology Business School
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Publisher: Elsevier BV
Date: 2008
DOI: 10.2139/SSRN.1148117
Publisher: Elsevier BV
Date: 08-2023
Publisher: Springer Berlin Heidelberg
Date: 2009
Publisher: Wiley
Date: 09-06-2015
DOI: 10.1002/FOR.2357
Publisher: Elsevier BV
Date: 2008
DOI: 10.2139/SSRN.1148137
Publisher: Wiley
Date: 04-02-2016
DOI: 10.1002/FUT.21770
Publisher: Oxford University Press (OUP)
Date: 08-09-2009
Publisher: Walter de Gruyter GmbH
Date: 25-10-2021
Abstract: This paper examines the Taylor rule in the context of United States monetary policy since 1965, particularly with respect to the zero-lower-bound era of the federal funds rate from 2009 to 2016. A nonlinear Taylor rule is developed which features smooth transitions in the first two moments of the federal funds rate. This flexible specification is found to usefully capture observed nonlinearity, while accounting for the well-documented structural changes in monetary policy formation at the Federal Reserve in the last 50 years, and especially in the recent zero-lower-bound era.
Publisher: Elsevier BV
Date: 08-2021
Publisher: Elsevier BV
Date: 04-2013
Publisher: MDPI AG
Date: 06-02-2023
DOI: 10.3390/ECONOMETRICS11010005
Abstract: This paper proposes a methodology for building Multivariate Time-Varying STCC–GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed exposition of the systematic, improved modelling cycle required for such nonlinear models. There is an R-package that includes the steps in the modelling cycle. Simulations demonstrate the robustness of the recommended model building approach. The modelling cycle is illustrated using daily return series for Australia’s four largest banks.
Publisher: Oxford University Press (OUP)
Date: 13-12-2007
Publisher: Routledge
Date: 28-06-2019
Publisher: Elsevier BV
Date: 12-2013
Publisher: Walter de Gruyter GmbH
Date: 2016
Abstract: The topic of this paper is testing the hypothesis of constant unconditional variance in GARCH models against the alternative that the unconditional variance changes deterministically over time. Tests of this hypothesis have previously been performed as misspecification tests after fitting a GARCH model to the original series. It is found by simulation that the positive size distortion present in these tests is a function of the kurtosis of the GARCH process. Adjusting the size by numerical methods is considered. The possibility of testing the constancy of the unconditional variance before fitting a GARCH model to the data is discussed. The power of the ensuing test is vastly superior to that of the misspecification test and the size distortion minimal. The test has reasonable power already in very short time series. It would thus serve as a test of constant variance in conditional mean models. An application to exchange rate returns is included.
Publisher: Springer Science and Business Media LLC
Date: 13-06-2019
Publisher: Informa UK Limited
Date: 14-10-2014
Publisher: Elsevier BV
Date: 10-2023
Publisher: MDPI AG
Date: 24-08-2022
DOI: 10.3390/ECONOMETRICS10030030
Abstract: We construct a parsimonious test of constancy of the correlation matrix in the multivariate conditional correlation GARCH model, where the GARCH equations are time-varying. The alternative to constancy is that the correlations change deterministically as a function of time. The alternative is a covariance matrix, not a correlation matrix, so the test may be viewed as a general test of stability of a constant correlation matrix. The size of the test in finite s les is studied by simulation. An empirical ex le involving daily returns of 26 stocks included in the Dow Jones stock index is given.
Publisher: Wiley
Date: 18-03-2015
DOI: 10.1002/JAE.2452
Location: Australia
No related grants have been discovered for Annastiina Silvennoinen.