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Econometric analysis of present value models when the discount factor is near one

West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches one as the sample size...

Persistent link: https://www.econbiz.de/10010594955

Modeling multivariate extreme events using self-exciting point processes

Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans - In: Journal of Econometrics 182 (2014) 2, pp. 269-289

We propose a model that can capture the typical features of multivariate extreme events observed in financial time series, namely, clustering behaviors in magnitudes and arrival times of multivariate extreme events, and time-varying dependence. The model is developed within the framework of the...

Persistent link: https://www.econbiz.de/10010906794

Particle filters for continuous likelihood evaluation and maximisation

Malik, Sheheryar; Pitt, Michael K. - In: Journal of Econometrics 165 (2011) 2, pp. 190-209

In this paper, a method is introduced for approximating the likelihood for the unknown parameters of a state space model. The approximation converges to the true likelihood as the simulation size goes to infinity. In addition, the approximating likelihood is continuous as a function of the...

Persistent link: https://www.econbiz.de/10010574072

The conditional autoregressive Wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of Econometrics 167 (2012) 1, pp. 211-223

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes an autoregressive moving average structure for the scale matrix of the Wishart distribution. It accounts for positive definiteness of covariance...

Persistent link: https://www.econbiz.de/10010574098

Testing stationarity of functional time series

Horváth, Lajos; Kokoszka, Piotr; Rice, Gregory - In: Journal of Econometrics 179 (2014) 1, pp. 66-82

Economic and financial data often take the form of a collection of curves observed consecutively over time. Examples include, intraday price curves, yield and term structure curves, and intraday volatility curves. Such curves can be viewed as a time series of functions. A fundamental issue that...

Persistent link: https://www.econbiz.de/10011052307

Multivariate rotated ARCH models

Noureldin, Diaa; Shephard, Neil; Sheppard, Kevin - In: Journal of Econometrics 179 (2014) 1, pp. 16-30

identity matrix. This yields the rotated BEKK (RBEKK) model. The extension to DCC-type parameterizations is given, introducing … then to fit them using a BEKK-type parameterization of the time-varying covariance whose long-run covariance is the … the rotated DCC (RDCC) model. Inference for these models is computationally attractive, and the asymptotics are standard …

Persistent link: https://www.econbiz.de/10011052342

Tests for m-dependence based on sample splitting methods

Moon, Seongman; Velasco, Carlos - In: Journal of Econometrics 173 (2013) 2, pp. 143-159

This paper develops new test methods for m-dependent data. Our approach is based on sample splitting by regular sampling of the original data at lower frequencies, so that standard techniques for testing independence can be used for each individual subsample. We then propose several alternative...

Persistent link: https://www.econbiz.de/10010617152

Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

Jensen, Mark J.; Maheu, John M. - In: Journal of Econometrics 178 (2014) P3, pp. 523-538

We extend the asymmetric, stochastic, volatility model by modeling the return-volatility distribution nonparametrically. The novelty is modeling this distribution with an infinite mixture of Normals, where the mixture unknowns have a Dirichlet process prior. Cumulative Bayes factors show our...

Persistent link: https://www.econbiz.de/10010730133

Time-varying sparsity in dynamic regression models

Kalli, Maria; Griffin, Jim E. - In: Journal of Econometrics 178 (2014) 2, pp. 779-793

A novel Bayesian method for inference in dynamic regression models is proposed where both the values of the regression coefficients and the importance of the variables are allowed to change over time. We focus on forecasting and so the parsimony of the model is important for good performance. A...

Persistent link: https://www.econbiz.de/10010730145

A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation

Hoogerheide, Lennart; Opschoor, Anne; Dijk, Herman K. van - In: Journal of Econometrics 171 (2012) 2, pp. 101-120

computational burden in econometric models like DCC or mixture GARCH models and a mixture instrumental variables model. …

Persistent link: https://www.econbiz.de/10010588322