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Marginal Likelihood for Markov-Switching and Change-Point Garch Models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen - Centre Interuniversitaire de Recherche en Analyse des … - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility …
Persistent link: https://www.econbiz.de/10009395940
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Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects
Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1995
In this paper, we study stochastic volatility models with time deformation. Such processes relate to early work by … stochastic volatility evolves in a operational time which differs from calendar time. The time deformation can be determined by … of information arrival. The econometric specification exploits the state-space approach for stochastic volatility models …
Persistent link: https://www.econbiz.de/10005101089
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Testing and Comparing Value-at-Risk Measures
Christoffersen, Peter; Hahn, Jinyong; Inoue, Atsushi - Centre Interuniversitaire de Recherche en Analyse des … - 2001
volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …
Persistent link: https://www.econbiz.de/10005100810
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GARCH for Irregularly Spaced Data: The ACD-GARCH Model
Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997
transaction durations and vice versa. Otherwise the spacings between trades are considered exogenous to the volatility dynamics … causality between volatility and intra-trade durations. Under general conditions we propose several GMM estimation procedures … that volatility of IBM stock prices Granger causes intra-trade durations. We also find that the persistence in GARCH drops …
Persistent link: https://www.econbiz.de/10005100975
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An Analysis of the Real Interest Rate Under Regime Shifts
Garcia, René; Perron, Pierre - Centre Interuniversitaire de Recherche en Analyse des … - 1995
This study considers the time series behavior of the U.S. real interest rate from 1961 to 1986. We provide a statistical characterization of the series using the methodology of Hamilton (1989), by allowing three possible regimes affecting both the mean and variance of the series. The results...
Persistent link: https://www.econbiz.de/10005838749
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An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda; … - Centre Interuniversitaire de Recherche en Analyse des … - 2011
We test for the presence of time-varying parameters (TVP) in the long-run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean-reverting models. We also propose residual-based diagnostic tests and examine out-of-sample forecasts. In-sample LR tests support the...
Persistent link: https://www.econbiz.de/10008855593
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Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models
Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010
This paper uses asymmetric heteroskedastic normal mixture models to fit return data and to price options. The models can be estimated straightforwardly by maximum likelihood, have high statistical fit when used on S&P 500 index return data, and allow for substantial negative skewness and time...
Persistent link: https://www.econbiz.de/10008642728
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Modeling Multivariate Data Revisions
Jacobs, Jan P. A. M.; Sarferaz, Samad; Norden, Simon van; … - Centre Interuniversitaire de Recherche en Analyse des … - 2013
Data revisions in macroeconomic time series are typically studied in isolation ignoring the joint behaviour of revisions across different series. This ignores (i) the possibility that early releases of some series may help forecast revisions in other series and (ii) the problems statitical...
Persistent link: https://www.econbiz.de/10011183682
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Trend-Cycle Decomposition: Implications from an Exact Structural Identification
Dungey, Mardi; Jacobs, Jan P. A. M.; Jian, Jing; … - Centre Interuniversitaire de Recherche en Analyse des … - 2013
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where trend shocks enter the cycle, or cycle shocks enter the trend and that...
Persistent link: https://www.econbiz.de/10011183769
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Lessons From the Latest Data on U.S. Productivity
Jacobs, Jan P. A. M.; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2010
La croissance de la productivité est examinée par les macro-économistes car elle joue des rôles clés dans la compréhension de l'épargne dans le secteur privé, les sources des chocs macroéconomiques, l'évolution de la compétitivité internationale et la solvabilité des régimes de...
Persistent link: https://www.econbiz.de/10008794713