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into a systematic and an individual-specific component, of which the systematic component reflects the general time …
Persistent link: https://www.econbiz.de/10011372520
decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic …
Persistent link: https://www.econbiz.de/10011343953
Persistent link: https://www.econbiz.de/10009720703
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...
Persistent link: https://www.econbiz.de/10010253460
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete stock price changes. The likelihood function for our model is analytically intractable and requires Monte Carlo integration methods for its numerical evaluation. The proposed...
Persistent link: https://www.econbiz.de/10011295740
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We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic recurrence equations, we establish stationarity,...
Persistent link: https://www.econbiz.de/10013375366