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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

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10012591572

Time-varying tail behavior for realized kernels

Opschoor, Anne; Lucas, André - 2019 - This version:July23,2019

We propose a new score-driven model to capture the time-varying volatility and tail behavior of realized kernels. We assume realized kernels follow an F distribution with two time-varying degrees-of-freedom parameters, accounting for the Vol-of-Vol and the tail shape of the realized kernel...

Persistent link: https://www.econbiz.de/10012053572

Beta observation-driven models with exogenous regressors : a joint analysis of realized correlation and leverage effects

Gorgi, Paolo; Koopman, Siem Jan - 2020

We consider a general class of observation-driven models with exogenous regressors for double bounded data that are based on the beta distribution. We obtain a stationary and ergodic beta observation-driven process subject to a contraction condition on the stochastic dynamic model equation. We...

Persistent link: https://www.econbiz.de/10012161059