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Simulated nonparametric estimation of dynamic models with applications to finance
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005
This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...
Persistent link: https://www.econbiz.de/10010745257
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Simulated nonparametric estimation of continuous time models of asset prices and returns
Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2004
This paper introduces a new parameter estimator of dynamic models in which the state is a multidimensional, continuous-time, partially observed Markov process. The estimator minimizes appropriate distances between nonparametric joint (and/or conditional) densities of sample data and...
Persistent link: https://www.econbiz.de/10010745606
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Does beta move with news?: Systematic risk and firm-specific information flows
Patton, Andrew J.; Verardo, Michela - London School of Economics (LSE) - 2009
This paper shows that the systematic risk (or "beta") of individual stocks increases by an economically and statistically signi…cant amount on days of firm-specific news announcements, and reverts to its average level two to five days later. We employ intra-daily data and recent advances in...
Persistent link: https://www.econbiz.de/10011071113
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Real effects of regional house prices: dynamic panel estimation with heterogeneity
Muñoz, Sònia - London School of Economics (LSE) - 2004
This paper uses recently developed methods for estimating dynamic heterogeneous cointegrated panel data models - which allows for heterogeneity in parameters and dynamics across agents - to study housing wealth effects in a dynamic model of the 50 US states and the District of Columbia from the...
Persistent link: https://www.econbiz.de/10011071164
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Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world
Lleo, Sebastien; Ziemba, Bill - London School of Economics (LSE) - 2014
predicted the crashes in China, Iceland and the US in the 2006-9 period. Iceland had a drop of fully 95%. For the US the call …
Persistent link: https://www.econbiz.de/10011170088
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Semiparametric inference in seasonal and cyclical long memory processes
Arteche, Josu; Robinson, Peter M. - London School of Economics (LSE) - 1998
Persistent link: https://www.econbiz.de/10010745134
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Seasonal and cyclical long memory
Arteche, Josu; Robinson, Peter M. - London School of Economics (LSE) - 1998
There has recently been great interest in time series with long memory, namely series whose dependence decays slowly in the sense that autocovariances are not summable and the spectral density is unbounded. This concept has been extended to SCLM (Seasonal/Cyclical Long Memory) where the...
Persistent link: https://www.econbiz.de/10010745698
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Multiple local whittle estimation in stationary systems
Robinson, Peter M. - London School of Economics (LSE) - 2007
Moving from univariate to bivariate jointly dependent long memory time series introduces a phase parameter (γ), at the frequency of principal interest, zero; for short memory series γ = 0 automatically. The latter case has also been stressed under long memory, along with the "fractional...
Persistent link: https://www.econbiz.de/10011071412
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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004
stationary time series and for standardized innovations of GARCH models. A simulation study demonstrates the efficacy of both …
Persistent link: https://www.econbiz.de/10010746302
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Contemporaneous aggregation of GARCH processes
Zaffaroni, Paolo - London School of Economics (LSE) - 2000
We study the impact of large cross-sections of contemporaneous aggregation of GARCH processes and of dynamic GARCH … factor models. The results crucially depend on the shape of the cross-sectional distribution of the GARCH coefficients and on … conditions, this is simply not fully diversifiable in arbitrary large portfolios. Non-GARCH memory properties arise at the …
Persistent link: https://www.econbiz.de/10010746556