Similar Search Results

Do Jumps Contribute to the Dynamics of the Equity Premium?

Maheu, John M.; McCurdy, Thomas H.; Zhao, Xiaofei - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper investigates whether risks associated with time-varying arrival of jumps and their effect on the dynamics of higher moments of returns are priced in the conditional mean of daily market excess returns. We find that jumps and jump dynamics are significantly related to the market equity...

Persistent link: https://www.econbiz.de/10010555039

Estimating a Semiparametric Asymmetric Stochastic Volatility Model with a Dirichlet Process Mixture

Jensen, Mark J.; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012

In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...

Persistent link: https://www.econbiz.de/10010555040

Bayesian Semiparametric Multivariate GARCH Modeling

Jensen, Mark J.; Maheu, John M. - Rimini Centre for Economic Analysis (RCEA) - 2012

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models …. An infinite mixture of multivariate normals is given a flexible Dirichlet process prior. The GARCH functional form enters … posterior simulation and computation of the predictive density. Bayes factors and density forecasts with comparisons to GARCH …

Persistent link: https://www.econbiz.de/10010556310

Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets

Bekiros, Stelios D. - Rimini Centre for Economic Analysis (RCEA) - 2013

vector autoregressions and various multivariate GARCH representations are adopted. The sample covers the after-Euro period …

Persistent link: https://www.econbiz.de/10010656018

Covariance Averaging for Improved Estimation and Portfolio Allocation

Thomakos, Dimitrios D.; Papailias, Fotis - Rimini Centre for Economic Analysis (RCEA) - 2013

We propose a new method for estimating the covariance matrix of a multivariate time series of nancial returns. The method is based on estimating sample covariances from overlapping windows of observations which are then appropriately weighted to obtain the nal covariance estimate. We extend the...

Persistent link: https://www.econbiz.de/10011147371

Gold and the U.S. Dollar: Tales from the Turmoil

Marzo, Massimiliano; Zagaglia, Paolo - Rimini Centre for Economic Analysis (RCEA) - 2010

the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia …

Persistent link: https://www.econbiz.de/10008475719

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - Rimini Centre for Economic Analysis (RCEA) - 2008

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10005091090

NoVaS Transformations: Flexible Inference for Volatility Forecasting

Thomakos, Dimitrios D.; Politis, Dimitris N. - Rimini Centre for Economic Analysis (RCEA) - 2007

In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we introduce an alternative target distribution (uniform); (b) we present a new method for volatility forecasting using NoVaS...

Persistent link: https://www.econbiz.de/10005091122