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Christoffersen, Peter; Berkowitz, Jeremy - Econometric Society - 2004

We present a general framework for testing the accuracy of Value-at-Risk (VaR) forecasts. The approach is based on the observation that violations – the days on which portfolio losses exceed the VaR – should be unpredictable. Specifically, these violations form a martingale difference...

Persistent link: https://www.econbiz.de/10005328970

Likelihood-based estimation and specification analysis of one- and two-factor SV models with leverage effects

Durham, Garland - Econometric Society - 2004

Techniques for simulated maximum likelihood (SML) estimation, filtering, and assessing the fit of stochastic volatility models are examined. Both one- and two-factor models (with leverage effects) are considered. The techniques are computationally efficient, robust, straightforward to implement,...

Persistent link: https://www.econbiz.de/10005342197

How Persistent is Volatility? An Answer with Stochastic Volatility Models with Markov Regime Switching State Equations

Hwang, Soosung; Satchell, Steve E.; Pereira, Pedro L. Valls - Econometric Society - 2004

We introduce SV models with Markov regime changing state equation (SVMRS) to investigate the important properties of volatility, high persistence and smoothness. With the quasi-ML approach proposed in our study, we showed that volatility is far less persistent and smooth than the GARCH or SV...

Persistent link: https://www.econbiz.de/10005129787

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

Persistent link: https://www.econbiz.de/10005063629

Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes

Huang, Jing-zhi; Wu, Liuren - Econometric Society - 2004

This article analyzes the specifications of option pricing models based on time-changed Levy processes. We classify option pricing models based on (i) the structure of the jump component in the underlying return process, (ii) the source of stochastic volatility, and (iii) the specification of...

Persistent link: https://www.econbiz.de/10005699646

Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility

White, Scott I.; Clements, Adam E.; Hurn, Stan - Econometric Society - 2004

Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques are often based on a set assumptions which restrict models to be specified in a linear state-space form. Numerical filtering techniques have been propsed that avoid invoking such...

Persistent link: https://www.econbiz.de/10005702536

Analysis of the predictive ability of information accumulated over nights, weekends and holidays

Tsiakas, Ilias - Econometric Society - 2004

Recent empirical evidence suggests that the weekend and holiday calendar effects are much stronger and statistically significant in volatility as opposed to expected returns. This paper seeks an explanation for this empirical finding by undertaking a comprehensive investigation of the predictive...

Persistent link: https://www.econbiz.de/10005702592

Estimation of Stochastic Volatility Models : An Approximation to the Nonlinear State Space

Shimada, Junji; Tsukuda, Yoshihiko - Econometric Society - 2004

The stochastic volatility (SV) models had not been popular as the ARCH (autoregressive conditional heteroskedasticity) models in practical applications until recent years even though the SV models have close relationship to financial economic theories. The main reason is that the likelihood of...

Persistent link: https://www.econbiz.de/10005702767

Is Perfectly Competitive Innovation Compatible with the Free Software Ethic?

Turnbull, Stephen J. - Econometric Society - 2004

. Advocates of "free software", software licensed under terms which do not exploit monopoly rights of copyright or patent, have … hailed this result as vindication of their position. However, on closer look, the Free Software ethic is based on assumptions … about the production and distribution of software that challenge the applicability of the Boldrin-Levine theory to software …

Persistent link: https://www.econbiz.de/10005702734

Testing the Power of Panel Cointegration Tests When Frequency of the Data Changes: A Simulation Study

Iqbal, Azhar - Econometric Society - 2004

In this paper we compare the size and the power of four cointegration tests in heterogeneous panel data, with both varying intercepts and slopes. These tests are (i) Kao (1999) Tests (both Dickey-Fuller (DF) and augmented Dickey-Fuller (ADF) types of cointegration tests in panel data), (ii)...

Persistent link: https://www.econbiz.de/10005342288