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Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10008727350

Pricing Chinese rain: a multi-site multi-period equilibrium pricing model for rainfall derivatives

Härdle, Wolfgang; Osipenko, Maria - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011

Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance...

Persistent link: https://www.econbiz.de/10009275681

Generalized Exogenous Processes in DSGE: A Bayesian Approach

Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a …

Persistent link: https://www.econbiz.de/10011207678

Modeling Time-Varying Dependencies between Positive-Valued High-Frequency Time Series

Hautsch, Nikolaus; Schuamburg, Julia; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so … distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a …

Persistent link: https://www.econbiz.de/10010587716

Are Correlations Constant Over Time? Application of the CC-TRIGt-test to Return Series from Different Asset Classes.

Fischer, Matthias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

A new test for constant correlation is proposed. Based on the bivariate Student-t distribution, this test is derived as Lagrange multiplier (LM) test. Whereas most of the traditional tests (e.g. Jennrich, 1970, Tang, 1995 and Goetzmann, Li & Rouwenhorst, 2005) specify the unknown correlations as...

Persistent link: https://www.econbiz.de/10005652781

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10005678003

A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Nile river level, and the U.S. unemployment rates, respectively. The results are all highly consistent with the conjectures …

Persistent link: https://www.econbiz.de/10005678044

Goodness-of-fit Test for Specification of Semiparametric Copula Dependence Models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...

Persistent link: https://www.econbiz.de/10010691293

The Influence of the Business Cycle on Mortality

Reichmuth, Wolfgang H.; Sarferaz, Samad - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

a latent mortality variable and of unemployment and GDP growth as main business cycle indicators. We find that young … the other age classes between childhood and old age react with lower mortality to increased unemployment or decreased GDP …

Persistent link: https://www.econbiz.de/10005678021

Integrating latent variables in discrete choice models – How higher-order values and attitudes determine consumer choice

Temme, Dirk; Paulssen, Marcel; Dannewald, Till - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007

Integrated choice and latent variable (ICLV) models represent a promising new class of models which merge classic choice models with the structural equation approach (SEM) for latent variables. Despite their conceptual appeal, to date applications of ICLV models in marketing are still rare. The...

Persistent link: https://www.econbiz.de/10005489959