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Conditionally-uniform Feasible Grid Search Algorithm

Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2012

We present and evaluate a numerical optimization method (together with an algorithm for choosing the starting values) pertinent to the constrained optimization problem arising in the estimation of the GARCH models with inequality constraints, in particular the Simplified Component GARCH Model...

Persistent link: https://www.econbiz.de/10009421016

Understanding volatility dynamics in the EU-ETS market

Sanin, Maria Eugenia; Mansanet-Bataller, Maria; … - School of Economics and Management, University of Aarhus - 2015

We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and we demonstrate that a standard ARMAX-GARCH framework is inadequate for this modeling and that the gaussianity assumption is rejected due to a number of outliers. To improve the...

Persistent link: https://www.econbiz.de/10011158461

Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

Amado, Cristina; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in … Conditional Correlation GARCH models to change smoothly over time by incorporating a nonstationary component in the variance … the long-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix …

Persistent link: https://www.econbiz.de/10009148811

Estimating the effect of a variable in a high-dimensional regression model

Jensen, Peter Sandholt; Würtz, Allan H. - School of Economics and Management, University of Aarhus - 2010

A problem encountered in some empirical research, e.g. growth empirics, is that the potential number of explanatory variables is large compared to the number of observations. This makes it infeasible to condition on all variables in order to determine whether a particular variable has an effect....

Persistent link: https://www.econbiz.de/10008740245

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...

Persistent link: https://www.econbiz.de/10009293656

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness-maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...

Persistent link: https://www.econbiz.de/10010851195

Multivariate Variance Targeting in the BEKK-GARCH Model

Pedersen, Rasmus Søndergaard; Rahbek, Anders - School of Economics and Management, University of Aarhus - 2012

This paper considers asymptotic inference in the multivariate BEKK model based on (co-)variance targeting (VT). By defi?nition the VT estimator is a two-step estimator and the theory presented is based on expansions of the modifi?ed likelihood function, or estimating function, corresponding to...

Persistent link: https://www.econbiz.de/10010851199

The Fine Structure of Equity-Index Option Dynamics

Andersen, Torben G.; Bondarenko, Oleg; Todorov, Viktor; … - School of Economics and Management, University of Aarhus - 2013

We analyze the high-frequency dynamics of S&P 500 equity-index option prices by constructing an assortment of implied volatility measures. This allows us to infer the underlying fine structure behind the innovations in the latent state variables driving the movements of the volatility surface....

Persistent link: https://www.econbiz.de/10010851229

Time-Consistency Problem and the Behavior of US Inflation from 1970 to 2008

Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013

The restrictions implied by the theory of time-consistent monetary policy are imposed on empirical data. Model estimation is conducted using Bayesian Markov chain Monte Carlo techniques. We are able to identify two major regimes regarding the policy of the Federal Reserve from 1970 to 2008....

Persistent link: https://www.econbiz.de/10010851240

Estimating Stochastic Volatility Models using Prediction-based Estimating Functions

Lunde, Asger; Brix, Anne Floor - School of Economics and Management, University of Aarhus - 2013

In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared to the...

Persistent link: https://www.econbiz.de/10010851259