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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
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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
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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
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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
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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
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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
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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
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2011
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness-maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
Persistent link: https://www.econbiz.de/10010851195
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Illiquidity Premia in the Equity Options Market
Christoffersen, Peter; Goyenko, Ruslan; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013
Illiquidity is well-known to be a significant determinant of stock and bond returns. We report on illiquidity premia in the equity options market. An increase in option illiquidity decreases the current option price and implies higher expected option returns. This effect is statistically and...
Persistent link: https://www.econbiz.de/10010851197
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Risk of Rare Disasters, Euler Equation Errors and the Performance of the C-CAPM
Posch, Olaf; Schrimpf, Andreas - School of Economics and Management, University of Aarhus - 2012
This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk rationalizes large pricing errors, i.e. Euler equation errors. This result is remarkable, since Lettau and Ludvigson (2009) show that leading asset pricing models cannot explain sizeable...
Persistent link: https://www.econbiz.de/10010851201