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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10011255481
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Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10011272593
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Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
See the publication in <I>Econometrics</I> (2013). Volume 1(1), pages 115-126.<P> The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations....</p></i>
Persistent link: https://www.econbiz.de/10011255860
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Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
The purpose of the paper is to discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC include the...
Persistent link: https://www.econbiz.de/10011256093
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Improving Density Forecasts and Value-at-Risk Estimates by Combining Densities
Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - Tinbergen Instituut - 2014
We investigate the added value of combining density forecasts for asset return prediction in a specific region of support. We develop a new technique that takes into account model uncertainty by assigning weights to individual predictive densities using a scoring rule based on the censored...
Persistent link: https://www.econbiz.de/10011256566
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive definite. Using this approach we can disentangle the...
Persistent link: https://www.econbiz.de/10011257254
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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
We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or …
Persistent link: https://www.econbiz.de/10011257409
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Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015
variable selection, LASSO estimation of threshold autoregressive models, high dimensional stochastic regression with latent … of conditional quantiles in nonlinear time series models, quasi-likelihood estimation of a threshold diffusion process …
Persistent link: https://www.econbiz.de/10011257486
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Forecasting Volatility with Copula-Based Time Series Models
Sokolinskiy, Oleg; Dijk, Dick van - Tinbergen Instituut - 2011
This paper develops a novel approach to modeling and forecasting realized volatility (RV) measures based on copula functions. Copula-based time series models can capture relevant characteristics of volatility such as nonlinear dynamics and long-memory type behavior in a flexible yet parsimonious...
Persistent link: https://www.econbiz.de/10011257654