Papers by Heather Mitchell
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... Higher-Moment Model with Errors-in-Variables: An Examination with Cross Section of Expected R... more ... Higher-Moment Model with Errors-in-Variables: An Examination with Cross Section of Expected Returns Minh Phuong Doan, Heather Mitchell, Richard Heaney School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia First version: January 2010 ...
Journal of Sport Management, 2016
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ABSTRACT This paper considers the ability of the power ARCH model to capture the stylized feature... more ABSTRACT This paper considers the ability of the power ARCH model to capture the stylized features of volatility in 17 heavily traded bilateral exchange rates. This power ARCH model nests a number of models from the ARCH family. The relative merits of these nested ARCH models can be considered using the standard log likelihood ratio test. The results of this paper suggest that in the presence of symmetric responses to innovations in the market, the GARCH(1,1) model is preferred. Where asymmetry is present, than the inclusion of a leverage term is worthwhile as long as a power term is also included. Copyright 2002 by Taylor and Francis Group
Journal of Statistical Computation and Simulation, Jan 16, 2008
... For ARCH and GARCH processes, the Hannan–Quinn (HQ) and stochastic complexity (RCL) criteria ... more ... For ARCH and GARCH processes, the Hannan–Quinn (HQ) and stochastic complexity (RCL) criteria exhibited a clear superiority in their ability to ... are available to represent the latter, in this article we specify an approach that is based on the Hansen and Lunde (H&L hereafter ...
Journal of Mathematical Finance, 2011
The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns... more The discrete nature of financial markets time-series data may prejudice the BDS and Close Returns test for nonlinearity. Our estimation results suggest that a tick/volatility ratio threshold exists, beyond which the test results are biased. Further, tick/volatility ratios that exceed these thresholds are frequently observed in financial markets data, which suggests that the results of the BDS and CR test must be interpreted with caution.
The analysis of correlations forms the basis of portfolio diversification and the lower the corre... more The analysis of correlations forms the basis of portfolio diversification and the lower the correlation between two assets, the greater the potential benefit to be obtained by diversification. In the international context , this typically involves the analyses of the correlation between the returns of national stock market indices. Erb, Harvey and Viskanta (1994) and Longin and Solnik (1995) have shown that these correlations tend to vary over the time according to the phases of business cycles. We extend this analysis by modelling time-varying correlations for the Morgan Stanley Capital International (MSCI) country indices using the Diagonal Vech parametrisation of the multivariate Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model.
The autoregressive conditional heteroscedasticity (ARCH) family of models has grown to encompass ... more The autoregressive conditional heteroscedasticity (ARCH) family of models has grown to encompass a wide range of specifications, each of which is designed to enhance the ability of the model to capture the characteristics of the data. In this paper, the ability of a number of model selection criteria to correctly identify the data generating process in simulated data is established. The results of this study suggest that the Hannan-Quinn and stochastic complexity criteria provide a superior level of performance for ARCH and generalized ARCH (GARCH) processes compared to the more commonly used criteria. Where leverage and/or power effects are present, however, none of the procedures considered perform well. A new LM based test for the presence of nonlinearity and power effects is introduced and tested.
Quantitative Finance, 2003
The autoregressive conditional heteroscedasticity (ARCH) family of models has grown to encompass ... more The autoregressive conditional heteroscedasticity (ARCH) family of models has grown to encompass a wide range of specifications, each of which is designed to enhance the ability of the model to capture the characteristics of the data. In this paper, the ability of a number of model selection criteria to correctly identify the data generating process in simulated data is established. The results of this study suggest that the Hannan-Quinn and stochastic complexity criteria provide a superior level of performance for ARCH and generalized ARCH (GARCH) processes compared to the more commonly used criteria. Where leverage and/or power effects are present, however, none of the procedures considered perform well. A new LM based test for the presence of nonlinearity and power effects is introduced and tested.
Journal of Statistical Computation and Simulation, 2008
... For ARCH and GARCH processes, the Hannan–Quinn (HQ) and stochastic complexity (RCL) criteria ... more ... For ARCH and GARCH processes, the Hannan–Quinn (HQ) and stochastic complexity (RCL) criteria exhibited a clear superiority in their ability to ... are available to represent the latter, in this article we specify an approach that is based on the Hansen and Lunde (H&L hereafter ...
Journal of Banking & Finance, 2006
H. Wang and C. Wang [Visibility of the compass rose in financial asset returns: A quantitative st... more H. Wang and C. Wang [Visibility of the compass rose in financial asset returns: A quantitative study, J. Bank. Financ. 26 (2002), 1099-1111] derive a measure of the visibility of the radial patterns that appear in a plot of current and past returns, which are more commonly known as the compass rose. In theory, this measure should be positively related to the tick/volatility ratio. In practice however, we find that this relationship does not hold for higher tick/volatility ratios that are common to stock market data. Thus, the use of this measure is limited in real world applications. We propose a correction factor that improves the behaviour of the quality measure over higher tick/volatility ratios, however, further research is required to fully identify and correct the problem.
Communications in Statistics - Simulation and Computation, 1993
Ve present a method for estimating a strictly convex function using a weighted combination of a l... more Ve present a method for estimating a strictly convex function using a weighted combination of a least squares parabola andan isotonic regression.The performance of the estimator is examined using a Monte-Carlo study
Applied Financial Economics, 2002
... The authors would like to thank Robert Faff and Robert Brooks for their invaluable comments o... more ... The authors would like to thank Robert Faff and Robert Brooks for their invaluable comments on an earlier version of this paper and Sveta Risman for her excellent research assistance. * Corresponding author : Email - [email protected] Page 2. 2 1 INTRODUCTION ...
Applied Economics, 2015
ABSTRACT
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ABSTRACT Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used... more ABSTRACT Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used successfully to model volatility in modern financial data. Here the returns on 3% Consols traded on the London market from 1821 to 1860 are examined for time-varying conditional heteroscedasticity. The series contains over 10,000 daily price changes. The analysis produces strong evidence for persistent ARCH effects in the data. Structural changes in the model and periods of increased volatility can be linked to important political and historical events. Copyright 2002 by Taylor and Francis Group
... [Web of Science ®], [CSA] View all references) constructed a socioeconomic model of ... the p... more ... [Web of Science ®], [CSA] View all references) constructed a socioeconomic model of ... the politicalstatus of the country; more specifically whether the country has/had a ... DONOR (+) gives the net official development donor aid from Organization for Economic Cooperation and ...
The best selling book Moneyball posited a theory on the success of a Major League Baseball franch... more The best selling book Moneyball posited a theory on the success of a Major League Baseball franchise that used detailed match data to identify inefficiencies in the market for professional baseball players. These statistics were then exploited to the advantage of that team. An important part of this strategy involved using mathematical techniques to identify which player statistics were most associated with team success, and then using these results to decide which players to recruit. This paper uses a similar approach to analyze elite Australian Football, making use of various types of regression models to identify and quantify the important player statistics in terms of their affect on match outcomes.
Pacific-Basin Finance Journal, 2010
During the 1997 Asian currency crisis and resulting imposition of capital controls in Malaysia, e... more During the 1997 Asian currency crisis and resulting imposition of capital controls in Malaysia, evidence from previous studies shows that firms with political connections suffered more during the crisis but benefited more when capital controls were introduced. In the period since then, the evidence shows financial firms with political connections have not performed as well as others since the measures
SSRN Electronic Journal, 2000
This paper considers the underlying volatility process in Australian electricity prices and exami... more This paper considers the underlying volatility process in Australian electricity prices and examines the applicability of a range of GARCH specifications to modelling volatility in 5 regional pool markets in the NEM. The GARCH variants considered include the basic GARCH, TARCH, EGARCH and PARCH specifications. The approach used in this study differs from the previous Australian ARCH-based studies in that discrete half-hourly returns are used over a six-year sample period, across each of five regional pools in the NEM. Seasonal effects and outliers (price spikes) are filtered prior to fitting the various GARCH models in order to investigate the underlying volatility process without the noise contributed by these effects. Results show that the PARCH specification is favoured in the NSW, QLD and SNOWY regions but in QLD and SA, the EGARCH specification is preferred as it more reliably describes the volatility processes in those two regions.
SSRN Electronic Journal, 2000
ABSTRACT We consider the problem of estimating missing values in vector time series. We give a me... more ABSTRACT We consider the problem of estimating missing values in vector time series. We give a method of calculating the minimum least squares estimate and a second method which uses the best linear combination of the forward and backward predictors. We derive the estimators for some simple models. We also give a method for calculatingthe exact likelihood of Gaussian linear process with missing observations using the innovations algorithm.
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Papers by Heather Mitchell