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Dynamic Factor Copula Models with Estimated Cluster Assignments

Oh, Dong Hwan; Patton, Andrew J. - 2021

This paper proposes a dynamic multi-factor copula for use in high dimensional time series applications. A novel feature of our model is that the assignment of individual variables to groups is estimated from the data, rather than being pre-assigned using SIC industry codes, market capitalization...

Persistent link: https://www.econbiz.de/10014351843

High-Dimensional Copula-Based Distributions with Mixed Frequency Data

Oh, Dong Hwan; Patton, Andrew J. - 2021

and copulas. The dependence between returns is decomposed into linear and nonlinear components, enabling the use of high … frequency data to accurately forecast linear dependence, and a new class of copulas designed to capture nonlinear dependence … among the resulting uncorrelated, low frequency, residuals. Estimation of the new class of copulas is conducted using …

Persistent link: https://www.econbiz.de/10013221496

The global equilibrium real interest rate : concepts, estimates, and challenges

Kiley, Michael T. - 2019

Real interest rates have been persistently below historical norms over the past decade, leading economists and policymakers to view the equilibrium real interest rate as likely to be low for some time. Various definitions and approaches to estimating the equilibrium real interest rate are...

Persistent link: https://www.econbiz.de/10012182401

When simplicity offers a benefit, not a cost : closed-form estimation of the GARCH(1,1) model that enhances the efficiency of quasi-maximum likelihood

Prono, Todd - 2019 - This version: February 2019

Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sources to asymmetry in the model's innovations,...

Persistent link: https://www.econbiz.de/10012181040

Regular variation of popular GARCH processes allowing for distributional asymmetry

Prono, Todd - 2017 - First version: August 2017

Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a stylized fact for many financial returns...

Persistent link: https://www.econbiz.de/10011803123

The Effects of Volatility on Liquidity in the Treasury Market

Meldrum, Andrew; Sokolinskiy, Oleg - 2023

We study the relationship between volatility and liquidity in the market for on-the-run Treasury securities using a novel framework for quantifying price impact. We show that at times of relatively low volatility, marginal trades that go with the flow of existing trades tend to have a smaller...

Persistent link: https://www.econbiz.de/10014350704

More than Words : Twitter Chatter and Financial Market Sentiment

Adams, Travis; Ajello, Andrea; Silva, Diego; … - 2023

We build a new measure of credit and financial market sentiment using Natural Language Processing on Twitter data. We find that the Twitter Financial Sentiment Index (TFSI) correlates highly with corporate bond spreads and other price- and survey-based measures of financial conditions. We...

Persistent link: https://www.econbiz.de/10014354231

Bayesian Estimation of Time-Changed Default Intensity Models

Gordy, Michael B. - 2015

We estimate a reduced-form model of credit risk that incorporates stochastic volatility in default intensity via stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state-dependent volatility in the state equation. We implement on...

Persistent link: https://www.econbiz.de/10013028638

Closed-Form Estimation of Finite-Order Arch Models : Asymptotic Theory and Finite-Sample Performance

Prono, Todd - 2017

Strong consistency and weak distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators for a class of ARCH(p) models. Conditions for these results include (relatively) mild moment existence criteria that are supported...

Persistent link: https://www.econbiz.de/10012967740

On the Distribution of a Discrete Sample Path of a Square-Root Diffusion

Gordy, Michael B. - 2012

We derive the multivariate moment generating function (mgf) for the stationary distribution of a discrete sample path of n observations of a square-root diffusion (CIR) process, X(t). The form of the mgf establishes that the stationary joint distribution of (X(t(1)),...,X(t(n))) for any fixed...

Persistent link: https://www.econbiz.de/10013106989

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