WorldCat Identities

Meitz, Mika

Overview
Works: 13 works in 15 publications in 1 language and 18 library holdings
Roles: Author
Publication Timeline
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Most widely held works by Mika Meitz
Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models( )

2 editions published between 2004 and 2007 in English and held by 3 WorldCat member libraries worldwide

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of the two components are given. This immediately implies the existence of initial values such that the joint process is strictly stationary and beta-mixing. In addition to this, conditions for beta-mixing and existence of moments for the joint process are also provided in the case of (possibly) nonstationary initial values. All these results are applied to a general model which includes as special cases various first order generalized autoregressive conditional heteroskedasticity (GARCH) and autoregressive conditional duration (ACD) models with possibly complicated nonlinear structures. The results only require mild moment assumptions and in some cases provide necessary and sufficient conditions for geometric ergodicity
Stability of nonlinear AR-GARCH models( )

1 edition published in 2007 in English and held by 2 WorldCat member libraries worldwide

Stability of nonlinear AR-GARCH models( )

1 edition published in 2006 in English and held by 2 WorldCat member libraries worldwide

Five contributions to econometric theory and the econometrics of ultra-high-frequency data by Mika Meitz( Book )

2 editions published in 2006 in English and held by 2 WorldCat member libraries worldwide

A necessary and sufficient condition for the strict stationarity of a family of GARCH processes by Mika Meitz( )

1 edition published in 2005 in English and held by 1 WorldCat member library worldwide

Stability of nonlinear AR-GARCH models( )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in the sense that its Markov chain representation is geometrically ergodic are provided. This implies the existence of an initial distribution such that the process is strictly stationary and beta-mixing. Conditions under which the stationary distribution has finite moments are also given. The results cover several nonlinear specifications recently proposed for both the conditional mean and conditional variance
Stability of nonlinear AR-GARCH models by Mika Meitz( )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

Evaluating models of autoregressive conditional duration( )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

This paper contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced and their properties discussed. A number of new misspecification tests for the ACD class of models are introduced. They are Lagrange multiplier and Lagrange multiplier type tests against general forms of additive and multiplicative misspecification of the conditional mean function. These forms include tests against higher-order models, tests of no remaining ACD in the standardized durations, as well as tests of linearity and parameter constancy. In addition to its generality, the advantage of this testing approach is its ease of application, since all the resulting asymptotic null distributions are standard. The finite sample properties of the tests are investigated by simulation. A general observation is that the tests are well-sized and have good power. Versions of the test statistics robust to deviations from distributional assumptions other than those being explicitly tested are also given. The smooth transition and time-varying ACD models are introduced, their main properties are examined, and they serve as alternatives in the tests of linearity and parameter constancy. Finally, the tests are applied to ACD models of the IBM stock traded at the New York Stock Exchange. -- ACD model ; Model misspecification test ; Lagrange multiplier test ; Smooth transition ACD model ; Nonlinear time series ; Parameter constancy
A necessary and sufficient condition for the strict stationarity of a family of GARCH processes( )

1 edition published in 2005 in English and held by 1 WorldCat member library worldwide

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a). This family contains various popular GARCH models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given. -- GARCH ; strict stationarity ; Lyapunov exponent
Evaluating models of autoregressive conditional duration by Mika Meitz( )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models by Mika Meitz( )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

Two notes on the econometrics of high-frequency financial data by Mika Meitz( Book )

1 edition published in 2004 in English and held by 1 WorldCat member library worldwide

Stability of nonlinear AR-GARCH models by Mika Meitz( Book )

1 edition published in 2006 in English and held by 1 WorldCat member library worldwide

 
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Audience level: 0.96 (from 0.94 for Stability ... to 0.97 for Five contr ...)

Languages
English (15)