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Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009

This discussion paper resulted in an article in the Journal of Financial Econometrics (2012). Vol. 10, pages 354-389. This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...

Persistent link: https://www.econbiz.de/10011255584

Model-based Estimation of High Frequency Jump Diffusions with Microstructure Noise and Stochastic Volatility

Bos, Charles S. - Tinbergen Instituut - 2008

When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on realised or bipower variation are applied. This article instead starts from a continuous time diffusion model and derives a parametric analog at high frequency for it, allowing...

Persistent link: https://www.econbiz.de/10011257300

Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series

Koopman, Siem Jan; Bos, Charles S. - Tinbergen Instituut - 2002

This discussion paper led to an article in Statistica Neerlandica (2003). Vol. 57, issue 4, pages 439-469. The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this...

Persistent link: https://www.econbiz.de/10011255780

Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models

Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2004

This discussion paper resulted in a publication in Computational Statistics & Data Analysis (2006). Vol. 51, issue 2, pages 885-903. We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and...

Persistent link: https://www.econbiz.de/10011256501

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Instituut - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011257194

The Impact of Central Bank FX Interventions on Currency Components

Beine, Michel; Bos, Charles S.; Laurent, Sebastian - Tinbergen Instituut - 2005

This paper is the first attempt to assess the impact of official FOREX interventions of the three major central banks in terms of the dynamics of the currency components of the major exchange rates (EUR/USD and YEN/USD) over the period 1989-2003. We identify the currency components of the mean...

Persistent link: https://www.econbiz.de/10011257616

Identifying Reduced-Form Relations with Panel Data

Vollebergh, Herman R.J.; Melenberg, Bertrand; … - Tinbergen Instituut - 2007

lack of identification lies at the root of these differences. To deal with this lack of identification, we propose an … identification strategy that explicitly distinguishes between what can be identified on the basis of the data and what is a … consequence of subjective choices due to a lack of identification. We apply our methodology to the pollution-income relationship …

Persistent link: https://www.econbiz.de/10011256480

Identifying US Monetary Policy Shocks through Sign Restrictions in Dollarized Countries

Gobbi, Alessandro; Willems, Tim - Tinbergen Instituut - 2011

Since dollarized countries import US monetary policy, identifying US monetary shocks through sign restrictions on US variables only, does not use all available information. In this paper we therefore include dollarized countries,which enable us to restrict more variables and leave the responses...

Persistent link: https://www.econbiz.de/10011256732

On the Identification of the Censored Regression Model with a Stochastic and Unobserved Treshold

Ridder, Geert; Montfort, Kees van - Tinbergen Instituut - 1998

We show that a sufficient condition for the identification ofall parameters of the censored regression model with …

Persistent link: https://www.econbiz.de/10011257349