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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10010274125
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Bayesian demographic modeling and forecasting: An application to U.S. mortality
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
development of adjacent age groups is assured allowing for consistent forecasts. We develop an appropriate Markov Chain Monte … approach we are able to asses uncertainty intuitively by constructing error bands for the forecasts. We observe that in … particular parameter uncertainty is important for long-run forecasts. This implies that hitherto existing forecasting methods …
Persistent link: https://www.econbiz.de/10010276366
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Modeling and forecasting age-specific mortality: A Bayesian approach
Reichmuth, Wolfgang H.; Sarferaz, Samad - 2008
similar development of adjacent age groups is assured, allowing for consistent forecasts. We develop an appropriate Markov … Bayesian approach we are able to assess uncertainty intuitively by constructing error bands for the forecasts. We observe that … in particular parameter uncertainty is important for long-run forecasts. This implies that existing forecasting methods …
Persistent link: https://www.econbiz.de/10010276367
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Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...
Persistent link: https://www.econbiz.de/10005854708
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Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - 2006
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...
Persistent link: https://www.econbiz.de/10010265657
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Predicting extreme VaR: Nonparametric quantile regression with refinements from extreme value theory
Schaumburg, Julia - 2010
This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The approach is flexible as it requires no assumptions on the form of return distributions. A monotonized double kernel local linear estimator is applied to estimate moderate (1%)...
Persistent link: https://www.econbiz.de/10010270817
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Measuring and modeling risk using high-frequency data
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Pigorsch, Uta - 2008
Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management.The recent availability of high-frequency data allows for refined methods in this field.In particular, more precise measures for the daily or lower frequency volatility can be...
Persistent link: https://www.econbiz.de/10010274148
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Quantile regression in risk calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10010281552
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang Karl; Mungo, Julius - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10010274129