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Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices.
Forbes, C.S.; Martin, G.M.; Wright, J. - Department of Econometrics and Business Statistics, … - 2002
In this paper we apply Bayesian methods to estimate a stochastic volatility model using both the prices of the asset … and the prices of options written on the asset. Implicit posterior densities for the parameters of the volatility model …, for the latent volatilities and for the market price of volatility risk are produced. The method involves augmenting the …
Persistent link: https://www.econbiz.de/10005581105
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Parametric Pricing of Higher Order Moments in S&P500 Options.
Lim, G.C.; Martin, G.M.; Martin, V.L. - Department of Econometrics and Business Statistics, … - 2002
well as time-varying volatility are priced. The parametric pricing model nests the Black-Scholes model and can explain … volatility smiles and skews in stock options. The data consist of S&P500 options traded on select days in April, 1995, a total …
Persistent link: https://www.econbiz.de/10005087577
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Do Policy-Related Shocks Affect Real Exchange Rates? An Empirical Analysis Using Sign Restrictions and a Penalty-Function Approach
Dumrongrittikul, Taya - Department of Econometrics and Business Statistics, … - 2011
We examine the response of real exchange rates to shocks in real exchange rate determinants, a monetary policy shock, and a fiscal policy shock in 30 countries over the period 1970-2008. The country set is divided into 4 groups - European, developed-country, Asian developing-country, and non...
Persistent link: https://www.econbiz.de/10009364601
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The Effects of Productivity Gains in Asian Emerging Economies: A Global Perspective
Dumrongrittikul, Taya; Anderson, Heather; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2014
This paper investigates international responses of key macroeconomic variables, particularly real exchange rates, to simultaneous shocks to productivity in the traded sector in eight Asian emerging and developing countries. We use panel estimation techniques to construct component submodels in a...
Persistent link: https://www.econbiz.de/10011085534
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How do Shocks to Domestic Factors Affect Real Exchange Rates of Asian Developing Countries
Dumrongrittikul, Taya; Anderson, Heather M. - Department of Econometrics and Business Statistics, … - 2015
This paper examines real exchange rate responses to shocks in exchange rate determinants for fourteen Asian developing countries. The analysis is based on a panel structural vector error correction model, and the shocks are identified using sign and zero restrictions. We find that trade...
Persistent link: https://www.econbiz.de/10011262826
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Fast computation of reconciled forecasts for hierarchical and grouped time series
Hyndman, Rob J; Lee, Alan; Wang, Earo - Department of Econometrics and Business Statistics, … - 2014
We describe some fast algorithms for reconciling large collections of time series forecasts with aggregation constraints. The constraints arise due to the need for forecasts of collections of time series with hierarchical or grouped structures to add up in the same manner as the observed time...
Persistent link: https://www.econbiz.de/10010958941
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Vector Autoregresive Moving Average Identification for Macroeconomic Modeling: Algorithms and Theory
Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2009
This paper develops a new methodology for identifying the structure of VARMA time series models. The analysis proceeds by examining the echelon canonical form and presents a fully automatic data driven approach to model specification using a new technique to determine the Kronecker invariants. A...
Persistent link: https://www.econbiz.de/10008491360
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Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form
Athanasopoulos, George; Poskitt, D.S.; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2007
In this paper we study two methodologies which identify and specify canonical form VARMA models. The two methodologies are: (i) an extension of the scalar component methodology which specifies canonical VARMA models by identifying scalar components through canonical correlations analysis and...
Persistent link: https://www.econbiz.de/10005009857
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Mixed Model-Based Hazard Estimation.
Cai, T.; Hyndman, R.J.; Wand, M.P. - Department of Econometrics and Business Statistics, … - 2000
We propose a new method for estimation of the hazard function from a set of censored failure time data, with a view to extending the general approach to more complicated models. The approach is based on a mixed model representation of penalized spline hazard estimators. One payoff is the...
Persistent link: https://www.econbiz.de/10005125280
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Some Results on the Identification and Estimation of Vector ARMAX Processes
Poskitt, D.S. - Department of Econometrics and Business Statistics, … - 2004
This paper addresses the problem of identifying echelon canonical forms for a vector autoregressive moving average model with exogenous variables using finite algorithms. For given values of the Kronecker indices a method for estimating the structural parameters of a model using ordinary least...
Persistent link: https://www.econbiz.de/10005581137