Narrow search
Showing 1 - 10 of 2,762
Cover Image
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Estimation using simulation techniques may be very time consuming. Specification tests for structuralstability often … volatility model for theS&P500. …
Persistent link: https://www.econbiz.de/10010339446
Cover Image
Realized Wishart-GARCH : a score-driven multi-Asset volatility model
Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016
the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …
Persistent link: https://www.econbiz.de/10011520881
Cover Image
In-sample bounds for time-varying parameters of observation driven models
Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015
. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation … that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …
Persistent link: https://www.econbiz.de/10010484891
Cover Image
Computationally attractive stability tests for the efficient method of moments
Sluis, Pieter J. van der - 1997
Persistent link: https://www.econbiz.de/10000968763
Cover Image
Moments, shocks and spillovers in Markov switching VAR models
Dijk, Dick van; Kole, Erik - 2021
To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...
Persistent link: https://www.econbiz.de/10012621564
Cover Image
A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … during financial crises and subsequent recovery. Thereafter, we develop properties to explain excess volatility, short …
Persistent link: https://www.econbiz.de/10011441491
Cover Image
A note on "continuous invertibility and stable QML estimation of the EGARCH(1,1) model"
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE. We also take the opportunity to provide other...
Persistent link: https://www.econbiz.de/10011401308
Cover Image
Information flows around the globe : predicting opening gaps from overnight foreign stock price patterns
Gooijer, Jan G. de; Diks, Cees G. H.; Gatarek, Lukasz T. - 2009
This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on price patterns from foreign markets that have become available overnight. As the close-to-open gap is a scalar response variable to a functional variable, it is natural to focus on...
Persistent link: https://www.econbiz.de/10011379456
Cover Image
Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the … microstructure noise has an adverse effect on both spot variance estimation and jump detection. In our approach we can analyze high …
Persistent link: https://www.econbiz.de/10011379469
Cover Image
Stock index volatility forecasting with high frequency data
Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002
improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …
Persistent link: https://www.econbiz.de/10011326944