Narrow search
Showing 1 - 10 of 2,471
Cover Image
Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the … varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10011373822
Cover Image
Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
Cover Image
A comparison of biased simulation schemes for stochastic volatility models
Lord, Roger; Koekkoek, Remmert; Dijk, Dick van - 2006
Persistent link: https://www.econbiz.de/10003332143
Cover Image
Stochastic dominance : convexity and some efficiency tests
Lizyayev, Andrey M. - 2009
Persistent link: https://www.econbiz.de/10003913176
Cover Image
Tail distribution of the maximum of correlated Gaussian random variables
Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
Cover Image
The stochastic volatility in mean model
Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable …
Persistent link: https://www.econbiz.de/10011303314
Cover Image
Automated response surface methodology for stochastic optimization models with unknown variance
Nicolai, Robin P.; Dekker, Rommert - 2005
algorithms on a number of test functions, including a simulation model for cancer screening. The results show that co! nsiderable …
Persistent link: https://www.econbiz.de/10011343271
Cover Image
Time series models with a common stochastic variance for analysing economic time series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10011327834
Cover Image
Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal … large efficiency gains for a range of models used in financial econometrics. …
Persistent link: https://www.econbiz.de/10011386179
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