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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"IHS economics series : working paper"
~language:"eng"
~subject:"Stochastic process"
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ECONIS (ZBW)
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11
On the invertibility of EGARCH
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2014
parameters are not available under
general
conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010384390
Saved in:
12
A one line derivation of DCC : application of a vector random coefficient moving average process
Hafner, Christian M.
;
McAleer, Michael
-
2014
-
Revised: July 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the derivation of asymptotic properties of the...
Persistent link: https://www.econbiz.de/10010374571
Saved in:
13
On the invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan
;
McAleer, Michael
-
2015
-
Revised version: February 2015
parameters are not available under
general
conditions, but only for special cases under highly restrictive and unverifiable …
Persistent link: https://www.econbiz.de/10010477092
Saved in:
14
Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André
;
Opschoor, Anne
-
2016
-
This version: September 1, 2016
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
Saved in:
15
A weak bifurcation theory for discrete time stochastic dynamical systems
Diks, Cees G. H.
;
Wagener, Florian Oskar Ottokar
-
2006
This article presents a bifurcation theory of smooth stochastic dynamical systems that are governed by everywhere positive transition densities. The local dependence structure of the unique strictly stationary evolution of such a system can be expressed by the ratio of joint and marginal...
Persistent link: https://www.econbiz.de/10011349208
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16
Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model
Koopman, Siem Jan
;
Lucas, André
;
Ooms, Marius
; …
-
2007
into a systematic and an individual-specific component, of which the systematic component reflects the
general
time …
Persistent link: https://www.econbiz.de/10011372520
Saved in:
17
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.
;
Koopman, Siem Jan
;
Ooms, Marius
-
2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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18
The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew
;
Koopman, Siem Jan
;
Zivot, Eric
-
2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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19
Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form
Bos, Charles S.
;
Shephard, Neil G.
-
2004
In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...
Persistent link: https://www.econbiz.de/10011334849
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20
Intraday stochastic volatility in discrete price changes : the dynamic Skellam model
Koopman, Siem Jan
;
Lit, Rutger
;
Lucas, André
-
2015
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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