Showing 1 - 10 of 15
The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset returns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...
Persistent link: https://www.econbiz.de/10009392977
We develop a new asset price model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the norma period where the asset price divided by the divided is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10010797650
The paper proposes a new class of continuous-time asset pricing models where negative jumps play a crucial role. Whenever there is a negative jump in asset re- turns, it is simultaneously passed on to diffusion variance and the jump intensity, generating self-exciting co-jumps of prices and...
Persistent link: https://www.econbiz.de/10010698139
In this paper, we consider sieve instrumental variable quantile regression (IVQR) estimation of functional coefficient models where the coefficients of endogenous regressors are unknown functions of some exogenous covariates. We approximate the unknown functional coefficients by some basis...
Persistent link: https://www.econbiz.de/10011164315
We consider the problem of determining the number of factors and selecting the proper regressors in linear dynamic panel data models with interactive fixed effects. Based on the preliminary estimates of the slope parameters and factors a la Bai and Ng (2009) and Moon and Weidner (2014a), we...
Persistent link: https://www.econbiz.de/10011164316
In this paper the Laplace approximation is used to perform classical and Bayesian analyses of univariate and multivariate stochastic volatility (SV) models. We show that implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...
Persistent link: https://www.econbiz.de/10010561331
In this paper the Laplace approximation is used to perform classical and Bayesian analyses of univariate and multivariate stochastic volatility (SV) models. We show that implementation of the Laplace approximation is greatly simplified by the use of a numerical technique known as automatic...
Persistent link: https://www.econbiz.de/10010561674
It is well known that (quasi) MLE of dynamic panel data (DPD) models with short panels depends on the assumptions on the initial values; ignoring them or a wrong treatment of them will result in inconsistency or serious bias. This paper introduces a initial-condition free method for estimating...
Persistent link: https://www.econbiz.de/10010929724
In the presence of heteroskedasticity, Lin and Lee (2010) show that the quasi maximum likelihood (QML) estimators of spatial autoregressive models (SAR) can be inconsistent as a ‘necessary’ condition for consistency can be violated, and thus propose robust GMM estimators for the model. In...
Persistent link: https://www.econbiz.de/10010929726
In this paper we consider the problem of determining the number of structural changes in multiple linear regression models via group fused Lasso (least absolute shrinkage and selection operator ). We show that with probability tending to one our method can correctly determine the unknown number...
Persistent link: https://www.econbiz.de/10010887083