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Frontiers in time series and financial econometrics : an overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015
-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic …
Persistent link: https://www.econbiz.de/10010484894
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The fundamental equation in tourism finance
McAleer, Michael - 2015
The purpose of the paper is to present the fundamental equation in tourism finance that connects tourism research to empirical finance and financial econometrics. The energy industry, which includes, oil, gas and bio-energy fuels, together with the tourism industry, are two of the most important...
Persistent link: https://www.econbiz.de/10011391546
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Common and idiosyncratic conditional volatility factors : theory and empirical evidence
Blasques, Francisco; D'Innocenzo, Enzo; Koopman, Siem Jan - 2021 - This version: June 21, 2021
-dimensional vector of financial returns. We identify common and idiosyncratic conditional volatility factors. The econometric framework … conditional volatility factor are investigated by means of a Monte Carlo study. Finally, we illustrate our approach with two …
Persistent link: https://www.econbiz.de/10012591559
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Missing observations in observation-driven time series models
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan - 2018
generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …
Persistent link: https://www.econbiz.de/10011794421
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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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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Relating stochastic volatility estimation methods
Bos, Charles S. - 2011
Persistent link: https://www.econbiz.de/10008907815
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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
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
the Efficient Method of Moments implemented to estimatestochastic volatility models this will surely be the case … method of momentstechnique for a broad range of univariate stochastic volatility models. As a side effect of the … volatility models. It describes the program. Some examples are given from other workof the author. Technicalities are given in …
Persistent link: https://www.econbiz.de/10010533201
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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