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6,901
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1
Multifrequency News and Stock Returns
Calvet, Laurent E.
-
2013
-shifts of heterogeneous durations affect the
volatility
of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating
volatility
feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic
volatility
is faster for bad states than good …
Persistent link: https://www.econbiz.de/10012754523
Saved in:
2
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013104725
Saved in:
3
Nonrenewable Resource Prices : Deterministic or Stochastic Trends?
Lee, Junsoo
;
List, John A.
;
Strazicich, Mark C.
-
2021
In this paper we examine temporal properties of eleven natural resource real price series from 1870-1990 by employing a Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic trend. Contrary to previous research, we find...
Persistent link: https://www.econbiz.de/10013227016
Saved in:
4
Searching for a Break in Gnp
Christiano, Lawrence J.
-
2021
It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in post war U.S. GNP data. This paper shows that the statistical evidence does not warrant abandoning the no trend null...
Persistent link: https://www.econbiz.de/10013228038
Saved in:
5
Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis :
Theory
and International Evidence
Banerjee, Anindya
;
Lumsdaine, Robin L.
;
Stock, James H.
-
2021
This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...
Persistent link: https://www.econbiz.de/10013248699
Saved in:
6
Maximum Likelihood Estimation of Stochastic
Volatility
Models
Ait-Sahalia, Yacine
-
2009
We develop and implement a new method for maximum likelihood estimation in closed-form of stochastic
volatility
models … unobservable
volatility
state, to an approximate likelihood procedure where the
volatility
state is replaced by the implied …
volatility
of a short dated at-the-money option. We find that the approximation results in a negligible loss of accuracy. We …
Persistent link: https://www.econbiz.de/10012767654
Saved in:
7
Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance
Das, Sanjiv Ranjan
-
2008
-diffusions, and models of stochastic
volatility
. This paper explores the statistical properties of these models with a view to …
Persistent link: https://www.econbiz.de/10012774952
Saved in:
8
A General Stochastic
Volatility
Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B.
-
2010
We develop a tractable and flexible stochastic
volatility
multi-factor model of the term structure of interest rates …
Persistent link: https://www.econbiz.de/10012761268
Saved in:
9
Endogenous
Volatility
at the Zero Lower Bound : Implications for Stabilization Policy
Basu, Susanto
-
2016
At the zero lower bound, the central bank's inability to offset shocks endogenously generates
volatility
. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous
volatility
by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic
volatility
…
Persistent link: https://www.econbiz.de/10013002240
Saved in:
10
Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.
-
2012
the spot
volatility
extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the
volatility
surface and for … index options we extend the popular double-jump stochastic
volatility
model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10013107009
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