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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak 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/10003636133
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JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10003727355
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 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/10003727673
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 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/10003324256
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Large vector auto regressions
Song, Song; Bickel, Peter J. - 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/10009266948
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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...
Persistent link: https://www.econbiz.de/10011518802
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Efficient iterative maximum likelihood estimation of high-parameterized time series models
Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2014
We propose an iterative procedure to efficiently estimate models with complex log-likelihood functions and the number of parameters relative to the observations being potentially high. Given consistent but inefficient estimates of sub-vectors of the parameter vector, the procedure yields...
Persistent link: https://www.econbiz.de/10010235324
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Leveraged ETF options implied volatility paradox : a statistical study
Härdle, Wolfgang; Nasekin, Sergey; Hong, Zhiwu - 2016
utilizes the dynamic structure of implied volatility surface allowing out-of-sample forecasting and information on unleveraged …
Persistent link: https://www.econbiz.de/10011437891
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An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin; Xu, Xiu; Chen, Ying - 2015
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China …
Persistent link: https://www.econbiz.de/10010529347
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563