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Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
-of-fit and clearly reduces the forecasting uncertainty particularly in low-volatility periods. The proposed approach is shown to …
Persistent link: https://www.econbiz.de/10008496955
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Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
excess returns we observe that the slope and cur- vature yield factors contain the same explanatory power as the return-forecasting …
Persistent link: https://www.econbiz.de/10005677916
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Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10009205034
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
new model achieves higher forecasting performance compared to a standard DCC model. …
Persistent link: https://www.econbiz.de/10010607142
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FX Smile in the Heston Model
Janek, Agnieszka; Kluge, Tino; Weron, Rafał; Wystup, Uwe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
The Heston model stands out from the class of stochastic volatility (SV) models mainly for two reasons. Firstly, the process for the volatility is nonnegative and mean-reverting, which is what we observe in the markets. Secondly, there exists a fast and easily implemented semi-analytical...
Persistent link: https://www.econbiz.de/10008677946
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Forecasting the Term Structure of Variance Swaps
Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson … of variance swap curves than the random walk but forecasting the Heston model improves the popular static Heston model …
Persistent link: https://www.econbiz.de/10005677888
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Measuring Connectedness of Euro Area Sovereign Risk
Gätjen, Rebekka; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to \realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10011240325
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Structural Vector Autoregressions with Smooth Transition in Variances - The Interaction Between U.S. Monetary Policy and the Stock Market
Lütkepohl, Helmut; Netsunajev, Aleksei - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
In structural vector autoregressive analysis identifying the shocks of interest via heteroskedasticity has become a standard tool. Unfortunately, the approaches currently used for modelling heteroskedasticity all have drawbacks. For instance, assuming known dates for variance changes is often...
Persistent link: https://www.econbiz.de/10011145245
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Is There an Asymmetric Impact of Housing on Output?
Lee, Tsung-Hsien Michael; Chen, Wenjuan - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
Numerous papers have tried to understand housing’s role in the economy and have not reached an agreement. In this paper we turn to the asymmetric relationship between housing and the overall economic activity. We find that the relation between building permits and GDP is regime-dependent....
Persistent link: https://www.econbiz.de/10011252586
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Large Vector Auto Regressions
Song, Song; Bickel, Peter J. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and … financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic … tuning parameters are chosen via a data driven "rolling scheme" method to optimize the forecasting performance. A …
Persistent link: https://www.econbiz.de/10009209822