Showing 1 - 10 of 302
; multivariate volatility model ; random coefficient model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10001714621
; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …
Persistent link: https://www.econbiz.de/10002570445
We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of unit roots and thus needs to be transformed in different ways in order to yield stationarity. A Monte Carlo simulation is carried out to investigate the consequences of...
Persistent link: https://www.econbiz.de/10001600047
literature. An advantage here is that the asymptotic distribution theory is standard. The performance of the tests is compared to …
Persistent link: https://www.econbiz.de/10001693105
The concept of common factors has in the econometrics literature been applied to conditional means or in some cases to conditional variances. In this paper we generalize this concept to bivariate distributions. This is done using the conditional bivariate copula as the statistical tool. The...
Persistent link: https://www.econbiz.de/10001714617
Persistent link: https://www.econbiz.de/10000994162
This paper contains a Lagrange multiplier test of the hypothesis that the covariance matrix of a multivariate time series model is constant over time. It is further assumed that under the alternative, the error variances are time-varying whereas the correlation remain constant over time. Under...
Persistent link: https://www.econbiz.de/10001924637
Persistent link: https://www.econbiz.de/10000885969
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...
Persistent link: https://www.econbiz.de/10001664234
Persistent link: https://www.econbiz.de/10000981126