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The correlation dimension of returns with stochastic volatility

Diks, Cees - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706798

G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models

S»bastien Laurent; Peters, Jean-Philippe - Society for Computational Economics - SCE - 2001

This paper discusses and documents G@RCH 2.0, an Ox package dedicated to the estimation and forecasting of various univariate ARCH-type models including the GARCH, EGARCH, GJR, APARCH, IGARCH, FIGARCH, FIEGARCH and FIAPARCH specifications of the conditional variance and an AR(FI)MA specification...

Persistent link: https://www.econbiz.de/10005132877

Nonlinear models for financial time series with multiple attraction regions

Borovkova, Svetlana - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005170594

Evolution with Individual and Social Learning in an Agent-Based Stock Market

YAMAMOTO, Ryuichi - Society for Computational Economics - SCE - 2005

Recent research has shown a variety of computational techniques to describe evolution in an artificial stock market. One can distinguish the techniques based on at which level the learning of agents is modeled. The previous literature describes learning at either individual or social level. The...

Persistent link: https://www.econbiz.de/10005537496

The Portfolio Frontier with Higher Moments: The Undiscovered Country

Athayde, Gustavo; Flores, Renato G. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005345461

Finding a maximum skewness portfolio

Athayde, Gustavo; Flores, Renato - Society for Computational Economics - SCE - 2001

Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take …

Persistent link: https://www.econbiz.de/10005345587

Normal versus Student in Measuring Value at Risk. An Empirical Bayesian Overview

Society for Computational Economics - SCE - 2001

It is well known that financial returns exhibit positive kurtosis and flat tails. The Student model has been proposed … in terms of kurtosis. Both VAR were applied to a conjunct of diary observations of returns in six international indexes … characteristics other than kurtosis in the financial returns that affect the goodness of results. …

Persistent link: https://www.econbiz.de/10005345596

Stochastic Volatility in DSGE models

Primiceri, Giorgio; Justiniano, Alejandro - Society for Computational Economics - SCE - 2005

A number of recent papers have concluded that stochastic volatility plays a prominent role in describing the business cycle, particularly for the characterization of monetary policy. The impact of including stochastic volatility in DSGE models remains, however, unexplored. This paper therefore...

Persistent link: https://www.econbiz.de/10005343025

Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling

Pooter, Michiel D. de; Segers, Rengert - Society for Computational Economics - SCE - 2004

The shape of the likelihood of several recently developed econometric models is often non-elliptical. Learning this shape using Gibbs sampling is discussed in this paper. A systematic analysis using graphical and computational methods is presented. Examples of the models considered in this paper...

Persistent link: https://www.econbiz.de/10005345329

Fitting and comparing stochastic volatility models through Monte Carlo simulations

Bordignon, Silvano; Raggi, Davide - Society for Computational Economics - SCE - 2004

given point is estimated through a sequence of reduced runs of the MCMC algorithm, which is a particular case of a bridge …

Persistent link: https://www.econbiz.de/10005345362