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Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models

Meitz, Mika (contributor); Saikkonen, Pentti (contributor) - 2004 - [Elektronische Ressource], First version October 2004, revised December 2005 and April 2007

This paper studies a class of Markov models which consist of two components. Typically, one of the components is observable and the other is unobservable or 'hidden'. Conditions under which (a form of) geometric ergodicity of the unobservable component is inherited by the joint process formed of...

Persistent link: https://www.econbiz.de/10002465203

Univariate nonlinear time series models

Teräsvirta, Timo (contributor) - 2005 - [Elektronische Ressource]

In this paper developments in the analysis of univariate nonlinear time series are considered. First a number of commonly used nonlinear models are presented. The next section is devoted to methods of testing linearity, which is an important part of nonlinear model building. Techniques of...

Persistent link: https://www.econbiz.de/10002679532

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

Stylized facts of financial time series and three popular models of volatility

Malmsten, Hans (contributor); Teräsvirta, Timo (contributor) - 2004 - [Elektronische Ressource], Rev. September 3, 2004

Properties of three well-known and frequently applied first-order models for modelling and forecasting volatility in … Conditional Heteroskedasticity (GARCH), the Exponential GARCH and the Autoregressive Stochastic Volatility model. The focus is on … heteroskedasticity ; evaluation of volatility models ; exponential GARCH ; GARCH ; modelling return series ; stochastic volatility …

Persistent link: https://www.econbiz.de/10002199620

Multivariate autoregressive conditional heteroskedasticity with smooth transitions in conditional correlations

Silvennoinen, Annastiina (contributor); … - 2005 - [Elektronische Ressource], Rev. October 2005

; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

Persistent link: https://www.econbiz.de/10002570445

An application of the analogy between vector ARCH and vector random coefficient autoregressive models

He, Changli (contributor); Teräsvirta, Timo (contributor) - 2002 - [Elektronische Ressource]

; multivariate volatility model ; random coefficient model ; volatility forecasting …

Persistent link: https://www.econbiz.de/10001714621

Finite dimensional realizations of forward price term structure models

Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]

use the Lie algebra methodology of Björk et al. to investigate under what conditions on the volatility structure of the …

Persistent link: https://www.econbiz.de/10002450616

A reassessment of the cost-effectiveness of hormone replacement therapy in Sweden : results based on the Women's Health Initiative randomised controlled trial

Zethraeus, Niklas; Borgström, Fredrik; Jönsson, Bengt; … - 2004 - [Elektronische Ressource]

The cost-effectiveness of hormone replacement therapy (HRT) based on a societal perspective is reassessed based on new medical evidence found in the Women's Health Initiative (WHI). Within a model framework using an individual state transition model the cost-effectiveness of 50-60 year old women...

Persistent link: https://www.econbiz.de/10002482555

Stochastic better-supply dynamics in games

Josephson, Jens (contributor) - 2000 - [Elektronische Ressource]

In Young (1993, 1998) agents are recurrently matched to play a finite game and almost always play a myopic best reply to a frequency distribution based on a sample from the recent history of play. He proves that in a generic class of finite n-player games, as the mutation rate tends to zero,...

Persistent link: https://www.econbiz.de/10001600008

Stochastic adaption in finite games played by heterogeneous populations

Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]

In this paper, I analyze stochastic adaptation in finite n-player games played by heterogeneous populations of myopic best repliers, better repliers and imitators. In each period, one individual from each of n populations, one for each player role, is drawn to play and chooses a pure strategy...

Persistent link: https://www.econbiz.de/10001622442