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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
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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
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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
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Partial likelihood-based scoring rules for evaluating density forecasts in tails
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
Persistent link: https://www.econbiz.de/10003739119
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
Persistent link: https://www.econbiz.de/10003408454
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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
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Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206