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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 a simple but effective estimation procedure to extract the level and the volatilitydynamics of a latent macroeconomic factor from a panel of observable indicators. Our approachis based on a multivariate conditionally heteroskedastic exact factor model that cantake into account the...
Persistent link: https://www.econbiz.de/10009305116
In this paper we propose a smooth transition tree model for both the conditionalmean and variance of the short-term interest rate process. The estimation of suchmodels is addressed and the asymptotic properties of the quasi-maximum likelihoodestimator are derived. Model specification is also...
Persistent link: https://www.econbiz.de/10005868696
We propose an empirical approach to determine the various economic sourcesdriving the US yield curve. We allow the conditional dynamics of the yield at differ-ent maturities to change in reaction to past information coming from several relevantpredictor variables. We consider both endogenous,...
Persistent link: https://www.econbiz.de/10005868713
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