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Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns

Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...

Persistent link: https://www.econbiz.de/10011379456

Inference for adaptive time series models : stochastic volatility and conditionally Gaussian state space form

Bos, Charles S.; Shephard, Neil G. - 2004

In this paper we replace the Gaussian errors in the standard Gaussian, linear state space model with stochastic volatility processes. This is called a GSSF-SV model. We show that conventional MCMC algorithms for this type of model are ineffective, but that this problem can be removed by...

Persistent link: https://www.econbiz.de/10011334849

Multivariate stochastic volatility

Daníelsson, Jón - 1995

Persistent link: https://www.econbiz.de/10000913125

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

A Bayesian analysis of unobserved component models using Ox

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386121

Relating stochastic volatility estimation methods

Bos, Charles S. - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

Persistent link: https://www.econbiz.de/10011386124

Asymmetric price responses of gasoline stations : evidence for heterogeneity of retailers

Faber, Riemer P. - 2009

Persistent link: https://www.econbiz.de/10003913156

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10003913191

Economic growth and the volatility of foreing aid

Chervin, Michal; Wijnbergen, Sweder van - 2010

Persistent link: https://www.econbiz.de/10003934116

A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"

Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015

We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...

Persistent link: https://www.econbiz.de/10011401308