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Generalized exogenous processes in DSGE : a Bayesian approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...
Persistent link: https://www.econbiz.de/10010503919
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A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 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/10003633683
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 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/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - 2008
confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …
Persistent link: https://www.econbiz.de/10003796145
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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - 2009
This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...
Persistent link: https://www.econbiz.de/10003796201
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Estimation with the nested logit model : specifications and software particularities
Silberhorn, Nadja (contributor);  … - 2007
; simulation study …
Persistent link: https://www.econbiz.de/10003634024
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Estimation with the nested logit model : specifications and software particularities
Silberhorn, Nadja (contributor);  … - 2006
the performance of simulation studies with the nested logit model. In simulation studies with the nested logit model using … NNNL software (e. g. PROC MDC in SAS), it must be pointed out that the simulation of the utility function's error terms … logit model are shown on the basis of a simulation study. -- nested logit model ; utility maximization nested logit ; non …
Persistent link: https://www.econbiz.de/10003324329
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On the appropriateness of inappropriate VaR models
Härdle, Wolfgang (contributor);  … - 2006
The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...
Persistent link: https://www.econbiz.de/10003324192
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Dynamics of real per capita GDP
Neuhoff, Daniel - 2015 - This Version: August 7, 2015
This study investigates the dynamics of quarterly real GDP per capita growth rates across four countries, the US, UK, Canada and France. I obtain estimates for ARIMA(p,q) processes for first differences of log quarterly real GDP per capita using Reversible Jump Markov Chain Monte Carlo, allowing...
Persistent link: https://www.econbiz.de/10011309627