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A Meta-Distribution for Non-Stationary Samples
Guégan, Dominique - School of Economics and Management, University of Aarhus - 2009
In this paper, we focus on the building of an invariant distribution function associated to a non-stationary sample. After discussing some specific problems encountered by non-stationarity inside samples like the "spurious" long memory effect, we build a sequence of stationary processes...
Persistent link: https://www.econbiz.de/10005025509
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First and second order non-linear cointegration models
Lange, Theis - School of Economics and Management, University of Aarhus - 2009
This paper studies cointegration in non-linear error correction models characterized by discontinuous and regime-dependent error correction and variance specifications. In addition the models allow for autoregressive conditional heteroscedasticity (ARCH) type specifications of the variance. The...
Persistent link: https://www.econbiz.de/10005787551
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...
Persistent link: https://www.econbiz.de/10009293656
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...
Persistent link: https://www.econbiz.de/10009399368
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Analyzing Oil Futures with a Dynamic Nelson-Siegel Model
Hansen, Niels S.; Lunde, Asger - School of Economics and Management, University of Aarhus - 2013
distribution. Using copula decomposition we can set up a model for each factor individually along with a model for their dependence …
Persistent link: https://www.econbiz.de/10010851281
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Dynamic Diversification in Corporate Credit
Christoffersen, Peter; Jacobs, Kris; Jin, Xisong; … - School of Economics and Management, University of Aarhus - 2013
equity return dependence dynamics. Modeling a decade of weekly CDS spreads for 215 firms, we find that copula correlations … high since. Perhaps most importantly, tail dependence of CDS spreads increase even more than copula correlations during the …We characterize diversification in corporate credit using a new class of dynamic copula models which can capture …
Persistent link: https://www.econbiz.de/10010851205
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Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
Lunde, Asger; Brix, Anne Floor - School of Economics and Management, University of Aarhus - 2013
In this paper prediction-based estimating functions (PBEFs), introduced in Sørensen (2000), are reviewed and PBEFs for the Heston (1993) stochastic volatility model are derived. The finite sample performance of the PBEF based estimator is investigated in a Monte Carlo study, and compared to the...
Persistent link: https://www.econbiz.de/10010851259
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Semiparametric Modelling and Estimation: A Selective Overview
Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009
Semiparametric models are characterized by a finite- and infinite-dimensional (functional) component. As such they allow for added flexibility over fully parametric models, and at the same time estimators of parametric components can be developed that exhibit standard parametric convergence...
Persistent link: https://www.econbiz.de/10008506834
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Combining Long Memory and Level Shifts in Modeling and Forecasting the Volatility of Asset Returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - School of Economics and Management, University of Aarhus - 2011
We propose a parametric state space model with accompanying estimation and forecasting framework that combines long memory and level shifts by decomposing the underlying process into a simple mixture model and ARFIMA dynamics. The Kalman filter is used to construct the likelihood function after...
Persistent link: https://www.econbiz.de/10009150791
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Weak diffusion limits of dynamic conditional correlation models
Hafner, Christian M.; Laurent, Sebastien; Violante, … - School of Economics and Management, University of Aarhus - 2015
The properties of dynamic conditional correlation (DCC) models are still not entirely understood. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a...
Persistent link: https://www.econbiz.de/10011122366