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

Steven Cook

Applied Financial Economics Letters, 2008, vol. 4, issue 1, 59-63

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.

Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540701367485 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:raflxx:v:4:y:2008:i:1:p:59-63

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540701367485

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().