Narrow search
Showing 1 - 10 of 2,926
Cover Image
Complex evolutionary systems in behavioral finance
Hommes, Cars H.; Wagener, Florian Oskar Ottokar - 2008
Traditional finance is built on the rationality paradigm. This chapter discusses simple models from an alternative approach in which financial markets are viewed as complex evolutionary systems. Agents are boundedly rational and base their investment decisions upon market forecasting heuristics....
Persistent link: https://www.econbiz.de/10011376458
Cover Image
Stationarity and ergodicity of univariate generalized autoregressive score processes
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2012
Persistent link: https://www.econbiz.de/10009722625
Cover Image
Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2016
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood and quasi-maximum likelihood estimators may be compromised. We derive considerably weaker conditions that can be used...
Persistent link: https://www.econbiz.de/10011556144
Cover Image
Interquantile expectation regression
Barendse, Sander - 2017
We propose a semiparametric estimator to determine the effects of explanatory variables on the conditional interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the underlying random variables. IQE is the expected value of the...
Persistent link: https://www.econbiz.de/10011622915
Cover Image
Volatility spillovers from Australia's major trading partners across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2014
This paper features an analysis of volatility spillover effects from Australia's major trading partners, namely, China … framework, to assess spillovers across these markets in returns and in volatilities. The analysis confirms that the US and Hong … Kong markets have the greatest influence on the Australian one. We then move to a GARCH framework to apply further analysis …
Persistent link: https://www.econbiz.de/10010391535
Cover Image
Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10010366935
Cover Image
A smooth shadow-rate dynamic Nelson-Siegel Model for yields at the zero lower bound
Opschoor, Daan; Wel, Michel van der - 2022
We propose a smooth shadow-rate version of the dynamic Nelson-Siegel (DNS) model to analyze the term structure of interest rates during the recent zero lower bound (ZLB) period. By relaxing the no-arbitrage restriction, our shadow-rate model becomes highly tractable with a closed-form yield...
Persistent link: https://www.econbiz.de/10012817007
Cover Image
The joint estimation of term structures and credit spreads
Houweling, Patrick; Hoek, Jaap; Kleibergen, Frank - 1999
We present a new framework for the joint estimation of the default-free government term structure and corporate credit spread curves. By using a data set of liquid, German mark denominated bonds, we show that this yields more realistic spreads than traditionally obtained spread curves that...
Persistent link: https://www.econbiz.de/10011301164
Cover Image
Valuing Euro rating-triggered step-up telecom bonds
Houweling, Patrick; Mentink, Albertus André; Vorst, Ton - 2003
We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...
Persistent link: https://www.econbiz.de/10011333259
Cover Image
The analysis of stochastic volatility in the presence of daily realised measures
Koopman, Siem Jan; Scharth, Marcel - 2011
Persistent link: https://www.econbiz.de/10010191086