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Bollerslev, Tim; Todorov, Viktor - In: Journal of Econometrics 183 (2014) 2, pp. 168-180

We develop new methods for the estimation of time-varying risk-neutral jump tails in asset returns. In contrast to … extreme-value theory approximations together with short-maturity options. The new estimation approach explicitly allows the …

Persistent link: https://www.econbiz.de/10011077613

Jump tails, extreme dependencies, and the distribution of stock returns

Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of Econometrics 172 (2013) 2, pp. 307-324

. Our estimates are based on in-fill asymptotics for directly identifying the jumps, together with Extreme Value Theory (EVT …

Persistent link: https://www.econbiz.de/10011052337

Minimum distance estimation of the errors-in-variables model using linear cumulant equations

Erickson, Timothy; Jiang, Colin Huan; Whited, Toni M. - In: Journal of Econometrics 183 (2014) 2, pp. 211-221

We consider a multiple mismeasured regressor errors-in-variables model. We develop closed-form minimum distance estimators from any number of estimating equations, which are linear in the third and higher cumulants of the observable variables. Using the cumulant estimators alters qualitative...

Persistent link: https://www.econbiz.de/10011077598

Reinforced urn processes for credit risk models

Peluso, Stefano; Mira, Antonietta; Muliere, Pietro - In: Journal of Econometrics 184 (2015) 1, pp. 1-12

We propose a Bayesian nonparametric model to estimate rating migration matrices and default probabilities using the reinforced urn processes (RUP) introduced in Muliere et al. (2000). The estimated default probability becomes our prior information in a parametric model for the prediction of the...

Persistent link: https://www.econbiz.de/10011077595

Mutual excitation in Eurozone sovereign CDS

Aït-Sahalia, Yacine; Laeven, Roger J.A.; Pelizzon, Loriana - In: Journal of Econometrics 183 (2014) 2, pp. 151-167

-excitation risk which generates systemic sovereign risk, on other interconnected countries. …

Persistent link: https://www.econbiz.de/10011077597

Risk-parameter estimation in volatility models

Francq, Christian; Zakoïan, Jean-Michel - In: Journal of Econometrics 184 (2015) 1, pp. 158-173

This paper introduces the concept of risk parameter in conditional volatility models of the form ϵt=σt(θ0)ηt and … develops statistical procedures to estimate this parameter. For a given risk measure r, the risk parameter is expressed as a … function of the volatility coefficients θ0 and the risk, r(ηt), of the innovation process. A two-step method is proposed to …

Persistent link: https://www.econbiz.de/10011077602

Robust score and portmanteau tests of volatility spillover

Aguilar, Mike; Hill, Jonathan B. - In: Journal of Econometrics 184 (2015) 1, pp. 37-61

This paper presents a variety of tests of volatility spillover that are robust to heavy tails generated by large errors or GARCH-type feedback. The tests are couched in a general conditional heteroskedasticity framework with idiosyncratic shocks that are only required to have a finite variance...

Persistent link: https://www.econbiz.de/10011077603

Estimation of fixed effects panel regression models with separable and nonseparable space–time filters

Lee, Lung-fei; Yu, Jihai - In: Journal of Econometrics 184 (2015) 1, pp. 174-192

This paper considers a quasi-maximum likelihood estimation for a linear panel data model with time and individual fixed effects, where the disturbances have dynamic and spatial correlations which might be spatially stable or unstable. We first consider both separable and nonseparable...

Persistent link: https://www.econbiz.de/10011077609

Frontier estimation in the presence of measurement error with unknown variance

Kneip, Alois; Simar, Léopold; Van Keilegom, Ingrid - In: Journal of Econometrics 184 (2015) 2, pp. 379-393

Frontier estimation appears in productivity analysis. Firm’s performance is measured by the distance between its output and an optimal production frontier. Frontier estimation becomes difficult if outputs are measured with noise and most approaches rely on restrictive parametric assumptions....

Persistent link: https://www.econbiz.de/10011117412

A spatial autoregressive model with a nonlinear transformation of the dependent variable

Xu, Xingbai; Lee, Lung-fei - In: Journal of Econometrics 186 (2015) 1, pp. 1-18

This paper develops a nonlinear spatial autoregressive model. Of particular interest is a structural interaction model for share data. We consider possible instrumental variable (IV) and maximum likelihood estimation (MLE) for this model, and analyze asymptotic properties of the IV and MLE based...

Persistent link: https://www.econbiz.de/10011209283