Similar Search Results

Calvet, Laurent E. - 2005

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

Persistent link: https://www.econbiz.de/10012467238

Continuous-Time Linear Models

Cochrane, John H. - 2012

I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas

Persistent link: https://www.econbiz.de/10012460479

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben G. - 2000

It is well known that high-frequency asset returns are fat-tailed relative to the Gaussian distribution tails are typically reduced but not eliminated when returns are standardized by volatilities estimated from popular models such as GARCH. We consider two major dollar exchange rates, and we...

Persistent link: https://www.econbiz.de/10012471288

The Equity Premium and Structural Breaks

Pastor, Lubos - 2000

large shifts in the premium are unlikely or that the premium is associated, in part, with volatility. Our framework …

Persistent link: https://www.econbiz.de/10012470972

Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence

Banerjee, Anindya - 1990

This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...

Persistent link: https://www.econbiz.de/10012475507

Searching For a Break in GNP

Christiano, Lawrence J. - 1988

It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in post war U.S. GNP data. This paper shows that the statistical evidence does not warrant abandoning the no trend null...

Persistent link: https://www.econbiz.de/10012476369

Nonrenewable Resource Prices : Deterministic or Stochastic Trends?

Lee, Junsoo - 2005

In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...

Persistent link: https://www.econbiz.de/10012467192

An Empirical Investigation of Continuous-Time Equity Return Models

Andersen, Torben G. - 2001

This paper extends the class of stochastic volatility diffusions for asset returns to encompass Poisson jumps of time … as well as stochastic volatility with a pronounced negative relationship between return and volatility innovations. We …

Persistent link: https://www.econbiz.de/10012470208

Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance

Das, Sanjiv Ranjan - 1997

-diffusions, and models of stochastic volatility. This paper explores the statistical properties of these models with a view to …

Persistent link: https://www.econbiz.de/10012472845

Maximum Likelihood Estimation of Stochastic Volatility Models

Ait-Sahalia, Yacine - 2004

We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic volatility models … unobservable volatility state, to an approximate likelihood procedure where the volatility state is replaced by the implied … volatility of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …

Persistent link: https://www.econbiz.de/10012468114

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