Similar Search Results

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

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

GARCH effects on a test of cointegration

Franses, Philip H.; Kofman, Paul; Moser, James T. - 1992

Persistent link: https://www.econbiz.de/10000122460

Score-driven time-varying parameter models with splinebased densities

Brummelen, Janneke van; Gorgi, Paolo; Koopman, Siem Jan - 2025

We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...

Persistent link: https://www.econbiz.de/10015198647

Dynamic kernel models

Vallarino, Pierluigi - 2024

This paper introduces the family of Dynamic Kernel models. These models approximate the predictive density function of a time series through a weighted average of kernel densities possessing a dynamic bandwidth. A general specification is presented and several particular models are studied in...

Persistent link: https://www.econbiz.de/10015175638

Score driven exponentially weighted moving average and value-at-risk forecasting

Lucas, André; Zhang, Xin - 2014

We present a simple new methodology to allow for time-variation in volatilities using a recursive updating scheme similar to the familiar RiskMetrics approach. It exploits the link between exponentially weighted moving average and integrated dynamics of score driven time varying parameter...

Persistent link: https://www.econbiz.de/10010384110