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Bayesian forecasting of US growth using basic time varying parameter models and expectations data
Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014
Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...
Persistent link: https://www.econbiz.de/10010399680
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014
has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …
Persistent link: https://www.econbiz.de/10010259626
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive definite. Using this approach we can disentangle the...
Persistent link: https://www.econbiz.de/10010477100
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GARCH models for daily stock returns : impact of estimation frequency on value-at-risk and expected shortfall forecasts
Ardia, David; Hoogerheide, Lennart - 2013
Persistent link: https://www.econbiz.de/10010191413
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Censored posterior and predictive likelihood in Bayesian left-tail prediction for accurate value at risk estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013
Persistent link: https://www.econbiz.de/10009756308
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Stock market asymmetries : a copula diffusion
Stefanova, Denitsa - 2012
Persistent link: https://www.econbiz.de/10009724340
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Backtesting Value-at-Risk and expected shortfall in the presence of estimation error
Barendse, Sander; Kole, Erik; Dijk, Dick van - 2019
We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These … estimation error, and propose robust tests that account for it. Monte Carlo experiments show that the tests that ignore these …, we find that estimation error substantially impacts the outcome of the backtests. …
Persistent link: https://www.econbiz.de/10012057163
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Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016
momentum strategy. The estimation of this modeling and strategy approach can be done using an extended and modified version of …
Persistent link: https://www.econbiz.de/10011563065
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Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10010259630
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Long-term investing under uncertain parameter instability
Keijsers, Bart - 2023
The relationship between excess returns and the dividend price ratio is known to be unstable. However, there is no consensus on the type of instability, i.e. few or many breaks. Differences in parameter instability affect the long-term investor in particular, as misspecification errors are...
Persistent link: https://www.econbiz.de/10014416056