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BAUWENS, Luc; LAURENT, Sébastien; ROMBOUTS, Jeroen - Center for Operations Research and Econometrics (CORE), … - 2003

This paper surveys the most important developments in multivariate ARCH-type modelling. It reviews the model speciﬁcations, the inference methods, and the main areas of application of these models in ﬁnancial econometrics.

Persistent link: https://www.econbiz.de/10005008458

Consistent ranking of multivariate volatility models

LAURENT, Sebastien; ROMBOUTS, Jeroen V.K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2009

evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models … framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out … requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to …

Persistent link: https://www.econbiz.de/10008550212

On the forecasting accuracy of multivariate GARCH models

LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010

composed of more sophisticated specifications such as orthogonal and dynamic conditional correlation (DCC), both with leverage … to underestimate the conditional variance. Over calm periods, a simple assumption like constant conditional correlation …

Persistent link: https://www.econbiz.de/10008642224

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on … set 248 multivariate models that differ in their specification of the conditional variance, conditional correlation, and … innovation distribution. All models belong to the dynamic conditional correlation class which is particularly suited because it …

Persistent link: https://www.econbiz.de/10010610494

Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model.

BAUWENS, L.; GIOT, P. - Center for Operations Research and Econometrics (CORE), … - 1998

This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of the each duration. If...

Persistent link: https://www.econbiz.de/10005779511

The logarithmic ACD model: an application to market microstructure and NASDAQ

BAUWENS, LUC; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1997

This paper introduces the logarithmic autoregressive conditional duration model (Log-ACD model). The logarithmic version allows for more flexibility than the ACD model of Engle and Russel (1995), when additional variables are included in the model. We apply the Log-ACD model to bid/ask prices...

Persistent link: https://www.econbiz.de/10005042931

Asymmetric ACD models: introducing price information in ACD models with a two state transition model

BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1998

Persistent link: https://www.econbiz.de/10005043023

The stochastic conditional duration model: a latent factor model for the analysis of financial durations

BAUWENS, Luc; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 1999

A new model for the analysis of durations, the stochastic conditional duration (SCD) model, is introduced. This model is based of the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The latent factor is pertubed...

Persistent link: https://www.econbiz.de/10005043602

The Logarithmic ACD Model: An Application to Market Microstructure and NASDAQ.

Bauwens, L.; Giot, P. - Center for Operations Research and Econometrics (CORE), … - 1997

This paper introduces the logarithmic autoregressive conditional duration model (log-ACD model). The logarithmic version allows for more flexibilitythan the ACD model of Engel and Russel (1995), when additional variables are included in the model. We apply the log-ACD model to bid/ask prices...

Persistent link: https://www.econbiz.de/10005634140

The Stochastic Conditional Duration Model: a Latent Factor Model for the Analysis of Financial Durations.

Bauwens, L.; Veredas, D. - Center for Operations Research and Econometrics (CORE), … - 1999

A new model for the analysis of durations, the stochastic conditional dusration (SCD) model is introduced. This model is based on the assumption that the durations are generated by a latent stochastic factor that follows a first order autoregressive process. The lattent factor is perturbed...

Persistent link: https://www.econbiz.de/10005634184