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Implied Basket Correlation Dynamics
Härdle, Wolfgang Karl; Silyakova, Elena - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from return series, and under the risk neutral measure from...
Persistent link: https://www.econbiz.de/10010607150
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Tracking Down the Business Cycle: A Dynamic Factor Model For Germany 1820-1913
Sarferaz, Samad; Uebele, Martin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
We use a Bayesian dynamic factor model to measure Germany’s pre World War I economic activity. The procedure makes better use of existing time series data than historical national accounting. To investigate industrialization we propose to look at comovement between sectors. We find that...
Persistent link: https://www.econbiz.de/10005677899
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Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation
Giacomini, Enzo; Härdle, Wolfgang; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10005677907
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Multivariate Volatility Modeling of Electricity Futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
new model achieves higher forecasting performance compared to a standard DCC model. …
Persistent link: https://www.econbiz.de/10010607142
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Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models
Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10009205034
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Bootstrapping Systems Cointegration Tests with a Prior Adjustment for Deterministic Terms
Trenkler, Carsten - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10005207940
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Large Vector Auto Regressions
Song, Song; Bickel, Peter J. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and … financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic … tuning parameters are chosen via a data driven "rolling scheme" method to optimize the forecasting performance. A …
Persistent link: https://www.econbiz.de/10009209822
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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The imple- mented solution methods for nding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10005677881
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Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10005677925
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Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. TheSmolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10005677995