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Out-of-sample comparison of Copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

Persistent link: https://www.econbiz.de/10003787159

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

Continuous beliefs dynamics

Diks, Cees G. H.; Weide, Roy van der - 2002

We propose a general framework for studying the evolution ofheterogeneous beliefs in a dynamic feedback setting. Beliefsdistributions are defined on a continuous space representingthe possible strategies agents can choose from. Agents base theirchoices on past performances. As new information...

Persistent link: https://www.econbiz.de/10011333278

Herding, a-synchronous updating and heterogeneity in memory in a CBS

Diks, Cees G. H.; Weide, Roy van der - 2003

This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...

Persistent link: https://www.econbiz.de/10011334332

Heterogeneity as a natural source of randomness

Diks, Cees G. H.; Weide, Roy van der - 2003

We propose a new framework for studying the evolution of heterogeneous beliefs in a dynamic feedback setting. Beliefs distributions are defined on a beliefs space representing a continuum of possible strategies agents can choose from. Agents base their choices on past performances, re-evaluating...

Persistent link: https://www.econbiz.de/10011334360

Equivalence and bifurcations of finite order stochastic processes

Diks, Cees G. H.; Wagener, Florian Oskar Ottokar - 2005

corresponding bifurcation theory is illustrated with some simple examples. …

Persistent link: https://www.econbiz.de/10011343270

Nonparametric tests for serial independence based on quadratic forms

Diks, Cees G. H.; Panchenko, Valentyn - 2005

Tests for serial independence and goodness-of-fit based on divergence notions between probability distributions, such as the Kullback-Leibler divergence or Hellinger distance, have recently received much interest in time series analysis. The aim of this paper is to introduce tests for serial...

Persistent link: https://www.econbiz.de/10011346484

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 … of the system. By introducing a weak equivalence notion of these dependence ratios, we arrive at a bifurcation theory for … which in the compact case, the set of stable (non-bifurcating) systems is open and dense. The theory is illustrated with …

Persistent link: https://www.econbiz.de/10011349208

Location of investors and capital flight

Botman, Dennis P. J.; Diks, Cees G. H. - 2002

This paper utilizes a very simple model to study the timing and determinants of speculationagainst a fixed exchange rate regime when investors are heterogeneous because of locationaldifferences. Location matters because resident players may incur smaller costs when takinga short-position, are...

Persistent link: https://www.econbiz.de/10011326412

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543