Theo E Nijman
Biographic Data
| ID | 8920438 |
|---|---|
| NAME | Theo E Nijman |
| GIVEN NAMES | Theo E |
| FAMILY NAME | Nijman |
| SIGNATURE | NIJMAN T E |
| AFFILIATIONS | Tilburg University |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 1998 |
| H-INDEX | 0 |
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
Premia in Forward Foreign Exchange as Unobserved Components
We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the differenc…
Predictive Accuracy Gain From Disaggregate Sampling in Arima Models
Economics
No prominent works on this page.
Predictive Accuracy Gain From Disaggregate Sampling in Arima Models
Economics
Premia in Forward Foreign Exchange as Unobserved Components
We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the differenc…
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity
In this article we develop a test for the hypothesis that a series (observed in discrete time) is generated by a diffusion process. This test is based on an overidentifying relation between variance and kurtosis parameters that holds for generalized autoregressive conditional heteroscedastic diffusions. The proposed test is not specific to a particular data frequency and clearly indicates the presence of jumps in dollar exchange rates. To assess …
Autoregressive model (3 works) · Econometrics (3 works) · Economics (3 works) · Autoregressive–moving-average model (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Monetary Policy and Economic Impact (2 works) · Statistics (2 works) · Autoregressive conditional heteroskedasticity (1 work) · Autoregressive integrated moving average (1 work)