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Bayesian stochastic model specification search for seasonal and calendar effects

Grassi, Stefano; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2011

We extend a recent methodology, Bayesian stochastic model specification search (SMSS), for the selection of the unobserved components (level, slope, seasonal cycles, trading days effects) that are stochastically evolving over time. SMSS hinges on two basic ingredients: the non-centered...

Persistent link: https://www.econbiz.de/10008854104

Oracle Inequalities for High Dimensional Vector Autoregressions

Kock, Anders Bredahl; Callot, Laurent A.F. - School of Economics and Management, University of Aarhus - 2012

This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order of...

Persistent link: https://www.econbiz.de/10010851258

Oracle inequalities for high-dimensional panel data models

Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2013

This paper is concerned with high-dimensional panel data models where the number of regressors can be much larger than the sample size. Under the assumption that the true parameter vector is sparse we establish finite sample upper bounds on the estimation error of the Lasso under two different...

Persistent link: https://www.econbiz.de/10010851282

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero.We...

Persistent link: https://www.econbiz.de/10011252640

The limiting behavior of the estimated parameters in a misspecified random field regression model

Dahl, Christian M.; Qin, Yu - School of Economics and Management, University of Aarhus - 2008

obtained by applying some convenient new uniform convergence results that we propose. This theory may have applications beyond …

Persistent link: https://www.econbiz.de/10005787569

Optimal inference in dynamic models with conditional moment restrictions

Christensen, Bent Jesper; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2008

By an application of the theory of optimal estimating function, optimal instruments for dynamic models with conditional … Newey’s. Specification and hypothesis testing in our framework are introduced. We derive the theory of optimal instruments … and the associated asymptotic distribution theory for general cases including non-martingale estimating functions and …

Persistent link: https://www.econbiz.de/10005114126

Modelling the Volatility-Return Trade-off when Volatility may be Nonstationary

Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2009

In this paper a new GARCH–M type model, denoted the GARCH-AR, is proposed. In particular, it is shown that it is possible to generate a volatility-return trade-off in a regression model simply by introducing dynamics in the standardized disturbance process. Importantly, the volatility in the...

Persistent link: https://www.econbiz.de/10008556268

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2009

A novel estimation method for two classes of semiparametric scalar diffusion models is proposed: In the first class, the diffusion term is parameterised and the drift is left unspecified, while in the second class only the drift term is specified. Under the assumption of stationarity, the...

Persistent link: https://www.econbiz.de/10008527073

Asymptotic normality of the QMLE in the level-effect ARCH model

Dahl, Christian M.; Iglesias, Emma M. - School of Economics and Management, University of Aarhus - 2010

In this paper consistency and asymptotic normality of the quasi maximum like-lihood estimator in the level-effect ARCH model of Chan, Karolyi, Longstaff and Sanders (1992) is established. We consider explicitly the case where the parameters of the conditional heteroskedastic process are in the...

Persistent link: https://www.econbiz.de/10008509121

Stock Return and Cash Flow Predictability: The Role of Volatility Risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - School of Economics and Management, University of Aarhus - 2012

We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model that allow for both time-varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the...

Persistent link: https://www.econbiz.de/10010851207