Narrow search
Showing 1 - 10 of 2,219
Cover Image
Tempered Particle Filtering
Herbst, Edward - 2017
The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter, this distribution is generated by the state-transition equation. While...
Persistent link: https://www.econbiz.de/10012955446
Cover Image
Conditional Projection by Means of Kalman Filtering
Clarida, Richard; Coyle, Diane - 2021
We establish that the recursive, state-space methods of Kalman filtering and smoothing can be used to implement the Doan, Litterman, and Sims (1983) approach to econometric forecast and policy evaluation. Compared with the methods outlined in Doan, Litterman, and Sims, the Kalman algorithms are...
Persistent link: https://www.econbiz.de/10013248279
Cover Image
Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
Nelson, Charles R. - 2021
Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as...
Persistent link: https://www.econbiz.de/10013243662
Cover Image
The International CAPM and a Wavelet-Based Decomposition of Value at Risk
Fernandez, Viviana - 2010
upon the choice of the world market portfolio. In particular, the stock markets of the sampled countries appear to be more …
Persistent link: https://www.econbiz.de/10012761574
Cover Image
Risks and Returns of Cryptocurrency
Liu, Yukun - 2018
We establish that the risk-return tradeoff of cryptocurrencies (Bitcoin, Ripple, and Ethereum) is distinct from those of stocks, currencies, and precious metals. Cryptocurrencies have no exposure to most common stock market and macroeconomic factors. They also have no exposure to the returns of...
Persistent link: https://www.econbiz.de/10012913389
Cover Image
The Microeconomics of Cryptocurrencies
Halaburda, Hanna; Haeringer, Guillaume; Gans, Joshua S.; … - 2022
Since its launch in 2009 much has been written about Bitcoin, cryptocurrencies and blockchains. While the discussions initially took place mostly on blogs and other popular media, we now are witnessing the emergence of a growing body of rigorous academic research on these topics. By the nature...
Persistent link: https://www.econbiz.de/10013307509
Cover Image
Common Risk Factors in Cryptocurrency
Liu, Yukun; Tsyvinski, Aleh; Wu, Xi - 2022
We find that three factors – cryptocurrency market, size, and momentum – capture the cross-sectional expected cryptocurrency returns. We consider a comprehensive list of price- and market-related factors in the stock market, and construct their cryptocurrency counterparts. Nine...
Persistent link: https://www.econbiz.de/10013324704
Cover Image
Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10013075857
Cover Image
Dating the Integration of World Equity Markets
Bekaert, Geert - 2008
Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …
Persistent link: https://www.econbiz.de/10012774881
Cover Image
Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886