[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/a/taf/raflxx/v4y2008i1p59-63.html
   My bibliography  Save this article

Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests

Author

Listed:
  • Steven Cook
Abstract
Using Monte Carlo simulation, the finite-sample sizes of asymmetric cointegration tests are examined in the presence volatility clustering. The findings obtained show the asymmetric tests of Enders and Siklos (2001) to exhibit greater oversizing than the previously examined implicitly symmetric cointegration test of Engle and Granger (1987). Further, it is found that oversizing is driven by the size of the volatility parameter of the GARCH processes considered, rather than their degree of persistence. Interestingly, the application of consistent-threshold estimation is shown to increase the size distortion of the asymmetric tests, with the consistent-threshold MTAR test displaying the greatest size distortion of all tests considered.

Suggested Citation

  • Steven Cook, 2008. "Simulation analysis of the impact of volatility clustering upon the finite-sample distribution of threshold cointegration tests," Applied Financial Economics Letters, Taylor & Francis Journals, vol. 4(1), pages 59-63.
    • Handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:59-63
    DOI: 10.1080/17446540701367485
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/17446540701367485
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540701367485?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:raflxx:v:4:y:2008:i:1:p:59-63. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/rafl20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.