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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010958491
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - Center for Financial Studies - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010986379
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The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
highfrequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … observable or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA … models, have become a promising strategy for modeling and predicting (daily) volatility. In this paper, we show that the …
Persistent link: https://www.econbiz.de/10010986437
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New Keynesian versus old Keynesian government spending multipliers
Cogan, John F.; Cwik, Tobias J.; Taylor, John B.; … - Center for Financial Studies - 2009
Renewed interest in fiscal policy has increased the use of quantitative models to evaluate policy. Because of modeling uncertainty, it is essential that policy evaluations be robust to alternative assumptions. We find that models currently being used in practice to evaluate fiscal policy...
Persistent link: https://www.econbiz.de/10010958577
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - Center for Financial Studies - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10010958610
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Surprising comparative properties of monetary models: Results from a new data base
Taylor, John B.; Wieland, Volker - Center for Financial Studies - 2009
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...
Persistent link: https://www.econbiz.de/10010958611
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Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...
Persistent link: https://www.econbiz.de/10010958774
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The Volatility of Realized Volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic–volatility …–frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing … “observable” or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA …
Persistent link: https://www.econbiz.de/10005138845
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Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
Hautsch, Nikolaus - Center for Financial Studies - 2007
specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …
Persistent link: https://www.econbiz.de/10005138850
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Value-at-Risk and Expected Shortfall for Rare Events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
Abstract. We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for...
Persistent link: https://www.econbiz.de/10005007630