Modelling economic high-frequency time series with STAR-STGARCH models

In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification tests for the estimated model are obtained using standard asymptotic distribution theory. We illustrate the actual modelling by applying the STAR-STGARCH model family to two series of daily observations, the Swedish OMX index and the exchange rate JPY-USD.Financial time series; model misspecification test; nonlinear time series; smooth transition autoregressive model; smooth transition GARCH; time series model specification.

Developments in European Pension Regulation: Risks and Challenges

The paper will discuss the proposed regulatory frameworks (market valuation of liabilities) in Europe and the implications it will have on pension provision. The impact on current DB pension schemes and insured solutions with guarantees will be discussed in detail especially on the sustainability of the current guaranteed products. Collective solutions that are capital efficient under the proposed regulatory framework will be outlined as a viable alternative to Individual DC

Modelling Economic High-Frequency Time Series

In this paper we introduce the STAR-STGARCH model that can characterizenonlinear behaviour both in the conditional mean and the conditionalvariance. A modelling cycle for this family of models, consisting ofspecification, estimation, and evaluation stages is constructed.Misspecification tests for the estimated model are obtained using standardasymptotic distribution theory. We illustrate the actual modelling byapplying the STAR-STGARCH model family to two series of dailyobservations, the Swedish OMX index and the exchange rate JPY-USD.

Evaluating GARCH Models

This paper suggests a unified framework for testing the adequacy of anestimated GARCH model. Nothing more complicated than standard asymptotictheory is required. Parametric tests of no ARCH in standardized errors,symmetry, and parameter constancy are suggested. Estimating the alternativewhen the null hypothesis is rejected may give useful ideas of how to improvethe specification. It is also shown that the recent portmanteau test of Liand Mak (1994) is asymptotically equivalent to our test of no ARCH in thestandardized error process.