Narrow search
Showing 1 - 10 of 128
Cover Image
Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle
Kraeussl, R.; Lucas, A.; Rijsbergen, D.; Sluis, P.J. van der - Tinbergen Instituut - 2008
This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...
Persistent link: https://www.econbiz.de/10011255919
Cover Image
Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
Wel, Michel van der; Menkveld, Albert; Sarkar, Asani - Tinbergen Instituut - 2009
We develop a new likelihood-based approach to sign trades in the absence of quotes. It is equally efficient as existing MCMC methods, but more than 10 times faster. It can deal with the occurrence of multiple trades at the same time, and noisily observed trade times. We apply this method to a...
Persistent link: https://www.econbiz.de/10011255454
Cover Image
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 <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> 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...</p></i>
Persistent link: https://www.econbiz.de/10011255584
Cover Image
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient …-nested GARCH-type models are estimated and combined to predict the distribution of next-day ahead log-returns. …
Persistent link: https://www.econbiz.de/10011255484
Cover Image
Stock Index Volatility Forecasting with High Frequency Data
Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2002
Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … outperforms the GARCH model. …
Persistent link: https://www.econbiz.de/10011256816
Cover Image
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus …
Persistent link: https://www.econbiz.de/10011256998
Cover Image
A New Bootstrap Test for the Validity of a Set of Marginal Models for Multiple Dependent Time Series: An Application to Risk Analysis
Ardia, David; Gatarek, Lukasz; Hoogerheide, Lennart F. - Tinbergen Instituut - 2014
over a small time frame (e.g., a crisis period). We apply our method to test GARCH model specifications for a large panel …
Persistent link: https://www.econbiz.de/10011257126
Cover Image
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily … following conclusions. First, updating the parameter estimates of the GARCH equation on a daily frequency improves only … overlap, reflecting that the performance is not significantly different. Second, the asymmetric GARCH model with non …
Persistent link: https://www.econbiz.de/10011257409
Cover Image
Why Frequency Matters for Unit Root Testing
Boswijk, H. Peter; Klaassen, Franc - Tinbergen Instituut - 2005
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011257593
Cover Image
The Impact of China on Stock Returns and Volatility in the Taiwan Tourism Industry
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes …
Persistent link: https://www.econbiz.de/10011255765