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Dynamic term structure models: The best way to enforce the zero lower bound

Andreasen, Martin M.; Meldrum, Andrew - School of Economics and Management, University of Aarhus - 2014

perform better than the QTSMs when forecasting bond yields out of sample. …

Persistent link: https://www.econbiz.de/10011084733

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012

This paper investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLE?s) of the GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as...

Persistent link: https://www.econbiz.de/10010851299

Diffusion Indexes with Sparse Loadings

Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2013

The use of large-dimensional factor models in forecasting has received much attention in the literature with the … model which is better suited for forecasting compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a forecasting experiment based on US macroeconomic …

Persistent link: https://www.econbiz.de/10010851192

A Comprehensive Look at Financial Volatility Prediction by Economic Variables

Christiansen, Charlotte; Schmeling, Maik; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2010

market volatility by macroeconomic and financial variables. We go beyond forecasting stock market volatility (by large the …

Persistent link: https://www.econbiz.de/10008534434

Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression

Exterkate, Peter; Groenen, Patrick J.F.; Heij, Christiaan; … - School of Economics and Management, University of Aarhus - 2013

This paper puts forward kernel ridge regression as an approach for forecasting with many predictors that are related … overfitting. We extend the kernel ridge regression methodology to enable its use for economic time-series forecasting, by …

Persistent link: https://www.econbiz.de/10010851287

The Effects of Interest Rate Movements on Assets’ Conditional Second Moments

Palandri, Alessandro - School of Economics and Management, University of Aarhus - 2009

This paper investigates whether the short term interest rate may explain the movements observed in the conditional second moments of asset returns. The theoretical connections between these seemingly unrelated quantities are studied within the C-CAPM framework. Under the assumption that the...

Persistent link: https://www.econbiz.de/10005037436

Generalized Flat-Top Realized Kernel Estimation of Ex-Post Variation of Asset Prices Contaminated by Noise

Varneskov, Rasmus Tangsgaard - School of Economics and Management, University of Aarhus - 2011

This paper introduces a new class of generalized flat-top realized kernels for estimation of quadratic variation in the presence of market microstructure noise that is allowed to exhibit a non-trivial dependence structure and to be correlated with the efficient price process. The estimators in...

Persistent link: https://www.econbiz.de/10009293968

Construction and Interpretation of Model-Free Implied Volatility

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007

facilitate empirical analysis of both volatility forecasting and volatility risk pricing across distinct future states of the …

Persistent link: https://www.econbiz.de/10005440033

Pricing Volatility of Stock Returns with Volatile and Persistent Components

Zhu, Jie - School of Economics and Management, University of Aarhus - 2008

In this paper a two-component volatility model based on the component's first moment is introduced to describe the dynamic of speculative return volatility. The two components capture the volatile and persistent part of volatility respectively. Then the model is applied to 10 Asia-Pacific stock...

Persistent link: https://www.econbiz.de/10005440035

Inference for the jump part of quadratic variation of Itô semimartingales

Veraart, Almut - School of Economics and Management, University of Aarhus - 2008

Recent research has focused on modelling asset prices by Itô semimartingales. In such a modelling framework, the quadratic variation consists of a continuous and a jump component. This paper is about inference on the jump part of the quadratic variation, which can be estimated by the difference...

Persistent link: https://www.econbiz.de/10005440041