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dynamics of higher-order moments, and to the other preferred choice of forecasting distribution. We apply our method to Value …-at-Risk forecasting with Student's t distributions and show that the new method is competitive to or better than earlier methods for … volatility forecasting of stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010384110
wide range of estimation procedures. A Monte Carlo study is conducted for time-varying parameter models such as generalized …
Persistent link: https://www.econbiz.de/10011295703
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10010433899
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel …
Persistent link: https://www.econbiz.de/10015373862
orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … proposed estimation approach pairs intuitiveappeal with computational efficiency. We evaluate various alternative estimation …
Persistent link: https://www.econbiz.de/10011301159
finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with …
Persistent link: https://www.econbiz.de/10010433901
estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …
Persistent link: https://www.econbiz.de/10010532582
We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...
Persistent link: https://www.econbiz.de/10012591572
We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a …-to-implement estimator of the common primitive shocks. We illustrate our testing and estimation procedures with applications to panels of …
Persistent link: https://www.econbiz.de/10015329825
identification robust methods to assess estimation uncertainty when using non-Gaussianity for identification. …
Persistent link: https://www.econbiz.de/10013417421