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Modelling economic high-frequency time series with STAR-STGARCH models
Lundbergh, Stefan; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 1998
In this paper we introduce the STAR-STGARCH model that can characterize nonlinear behaviour both in the conditional mean and the conditional variance. A modelling cycle for this family of models, consisting of specification, estimation, and evaluation stages is constructed. Misspecification...
Persistent link: https://www.econbiz.de/10005423839
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Testing for Volatility Interactions in the Constant Conditional Correlation GARCH Model
Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null … hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged … squared innovations and volatility of its own. The alternative hypothesis is an extension of that model in which volatility is …
Persistent link: https://www.econbiz.de/10005423784
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Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures
Gredenhoff, Mikael; Karlsson, Sune - Economics Institute for Research (SIR), … - 1997
It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...
Persistent link: https://www.econbiz.de/10005423870
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Modelling Multivariate Autoregressive Conditional Heteroskedasticity with the Double Smooth Transition Conditional Correlation GARCH model
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
In this paper we propose a multivariate GARCH model with a time-varying conditional correlation structure. The new Double Smooth Transition Conditional Correlation GARCH model extends the Smooth Transition Conditional Correlation GARCH model of Silvennoinen and Teräsvirta (2005) by including...
Persistent link: https://www.econbiz.de/10005056490
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Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models
Nakatani, Tomoaki; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2007
to introduce negative volatility spillovers in the model. An empirical example illustrates usefulness of having such …
Persistent link: https://www.econbiz.de/10005649124
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Multivariate Autoregressive Conditional Heteroskedasticity with Smooth Transitions in Conditional Correlations
Silvennoinen, Annastiina; Teräsvirta, Timo - Economics Institute for Research (SIR), … - 2005
In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The approach adopted here is based on the decomposition of the covariances into correlations and standard deviations. The time-varying conditional correlations change smoothly between two...
Persistent link: https://www.econbiz.de/10005649338
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Finding all minimal CURB sets
Klimm, Max; Weibull, Jörgen - Economics Institute for Research (SIR), … - 2009
Sets closed under rational behavior were introduced by Basu and Weibull (1991) as subsets of the strategy space that contain all best replies to all strategy profiles in the set. We here consider a more restrictive notion of closure under rational behavior: a subset of the strategy space is...
Persistent link: https://www.econbiz.de/10008556972
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Adaptive hybrid Metropolis-Hastings samplers for DSGE models
Strid, Ingvar; Giordani, Paolo; Kohn, Robert - Economics Institute for Research (SIR), … - 2010
Bayesian inference for DSGE models is typically carried out by single block random walk Metropolis, involving very high computing costs. This paper combines two features, adaptive independent Metropolis-Hastings and parallelisation, to achieve large computational gains in DSGE model estimation....
Persistent link: https://www.econbiz.de/10008522061
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Gain, Loss, and Asset Pricing: It is Much Easier. A note
Longarela, Iñaki R. - Economics Institute for Research (SIR), … - 2000
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10005771180
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Parametric covariance matrix modeling in Bayesian panel regression
Salabasis, Mickael - Economics Institute for Research (SIR), … - 2004
The full Bayesian treatment of error component models typically relies on data augmentation to produce the required inference. Never stricly necessary a direct approach is always possible though not necessarily practical. The mechanics of direct sampling are outlined and a template for including...
Persistent link: https://www.econbiz.de/10005207192