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Generalized fractional processes with long memory and time dependent volatility revisited
Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21
follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …
Persistent link: https://www.econbiz.de/10011568296
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Parameter estimation of the Heston volatility model with jumps in the asset prices
Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26
mathematics for the dynamics of asset prices and their volatility. Calibrating it to real data would be very useful in many … practical scenarios. It is very challenging, however, since the volatility is not directly observable. In this paper, a complete …
Persistent link: https://www.econbiz.de/10014362627
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration …
Persistent link: https://www.econbiz.de/10011505854
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A parametric factor model of the term structure of mortality
Haldrup, Niels; Rosenskjold, Carsten P. T. - In: Econometrics : open access journal 7 (2019) 1/9, pp. 1-22
The prototypical Lee-Carter mortality model is characterized by a single common time factor that loads differently across age groups. In this paper, we propose a parametric factor model for the term structure of mortality where multiple factors are designed to influence the age groups...
Persistent link: https://www.econbiz.de/10012025646
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Asymptotic theory for cointegration analysis when the cointegration rank is deficient
Bernstein, David H.; Nielsen, Bent - In: Econometrics : open access journal 7 (2019) 1/6, pp. 1-24
We consider cointegration tests in the situation where the cointegration rank is deficient. This situation is of … interest in finite sample analysis and in relation to recent work on identification robust cointegration inference. We derive … asymptotic theory for tests for cointegration rank and for hypotheses on the cointegrating vectors. The limiting distributions …
Persistent link: https://www.econbiz.de/10012025653
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Likelihood ratio tests of restrictions on common trends loading matrices in I(2) VAR Systems
Boswijk, Herman Peter; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 3, pp. 1-17
cointegration parameters. Algorithms for (constrained) maximum likelihood estimation are presented, and asymptotic properties …
Persistent link: https://www.econbiz.de/10011710948
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Formula I(1) and I(2) : race tracks for likelihood maximization algorithms of I(1) and I(2) cointegrated VAR models
Doornik, Jurgen A.; Mosconi, Rocco; Paruolo, Paolo - In: Econometrics : open access journal 5 (2017) 4, pp. 1-30
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maximization algorithms of the cointegrated vector autoregressive model. Both I(1) and I(2) models are considered. The performance of algorithms is compared first in terms of effectiveness, defined as...
Persistent link: https://www.econbiz.de/10011781891
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State-space models on the Stiefel manifold with a new approach to nonlinear filtering
Yang, Yukai; Bauwens, Luc - In: Econometrics : open access journal 6 (2018) 4, pp. 1-22
We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...
Persistent link: https://www.econbiz.de/10011945700
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Jointly modeling male and female labor participation and unemployment
Bernstein, David H.; Martinez, Andrew B. - In: Econometrics : open access journal 9 (2021) 4, pp. 1-14
The COVID-19 pandemic resulted in the most abrupt changes in U.S. labor force participation and unemployment since the Second World War, with different consequences for men and women. This paper models the U.S. labor market to help to interpret the pandemic’s effects. After replicating and...
Persistent link: https://www.econbiz.de/10012697808
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Dynamic panel modeling of climate change
Phillips, Peter C. B. - In: Econometrics : open access journal 8 (2020) 3/30, pp. 1-28
standard dynamic panel regression and cointegration techniques that have been used in earlier research. The findings reveal …
Persistent link: https://www.econbiz.de/10012265695