Showing 1 - 10 of 66
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and...
Persistent link: https://www.econbiz.de/10011755317
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also...
Persistent link: https://www.econbiz.de/10011807394
We propose an a±ne term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed-form...
Persistent link: https://www.econbiz.de/10005627802
In this paper we propose a smooth transition tree model for both the conditional mean and variance of the short-term interest rate process. The estimation of such models is addressed and the asymptotic properties of the quasi-maximum likelihood estimator are derived. Model specification is also...
Persistent link: https://www.econbiz.de/10008494114
We propose a multivariate nonparametric technique for generating reliable historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and volatility matrix of a multivariate interest rate...
Persistent link: https://www.econbiz.de/10005132668
We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular, we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...
Persistent link: https://www.econbiz.de/10010720325
Persistent link: https://www.econbiz.de/10002771808
We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...
Persistent link: https://www.econbiz.de/10014051065
We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its...
Persistent link: https://www.econbiz.de/10014106743
We derive new theoretical results on the properties of the adaptive least absolute shrinkage and selection operator (adaptive lasso) for time series regression models. In particular we investigate the question of how to conduct finite sample inference on the parameters given an adaptive lasso...
Persistent link: https://www.econbiz.de/10013034902