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One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … rather than a dynamic conditional correlation model; (ii) provides the motivation, which is presently missing, for … standardization of the conditional covariance model to obtain the conditional correlation model; and (iii) shows that the appropriate …
Persistent link: https://www.econbiz.de/10010374571
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC … conditional covariance model of the returns shocks rather than a dynamic conditional correlation model; (ii) provides the … correlation model; and (iii) shows that the appropriate ARCH or GARCH model for DCC is based on the standardized shocks rather …
Persistent link: https://www.econbiz.de/10011715983
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011431503
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
Tests for structural stability with unknown breakpoint are derived for and applied tothe efficient method of moments. Three types of tests are discerned: Wald type tests,Predictive tests and Hansen type tests. The Hansen type test for structural stabilitywith unknown breakpoint is a novelty for...
Persistent link: https://www.econbiz.de/10011284082
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011373810
We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the left tail in financial risk management. By construction, existing scoring rules based on weighted...
Persistent link: https://www.econbiz.de/10011374395
The basic structural time series model has been designed for the modelling and forecasting of seasonal economic time series. In this paper we explore a generalisation of the basic structural time series model in which the time-varying trigonometric terms associated with different seasonal...
Persistent link: https://www.econbiz.de/10011379642
We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...
Persistent link: https://www.econbiz.de/10011298883
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