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Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco - 2014
. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the …
Persistent link: https://www.econbiz.de/10013063455
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An Hourly Periodic State Space Model for Modelling French National Electricity Load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10014220784
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2008
conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility …
Persistent link: https://www.econbiz.de/10014221102
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Time Series Models with a Common Stochastic Variance for Analysing Economic Time Series
Koopman, Siem Jan; Bos, Charles S. - 2002
The linear Gaussian state space model for which the common variance istreated as a stochastic time-varying variable is considered for themodelling of economic time series. The focus of this paper is on thesimultaneous estimation of parameters related to the stochasticprocesses of the mean part...
Persistent link: https://www.econbiz.de/10010324992
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Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu; McAleer, Michael - 2013
The paper proposes a general asymmetric multifactor Wishart stochastic volatility (AMWSV) diffusion process which …
Persistent link: https://www.econbiz.de/10010326219
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A Fractionally Integrated Wishart Stochastic Volatility Model
Asai, Manabu; McAleer, Michael - 2013
volatility models. We propose a continuous timefractionally integrated Wishart stochastic volatility (FIWSV) process. We derive …
Persistent link: https://www.econbiz.de/10010326243
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Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco; Lucas, Andre; Silde, Erkki - 2013
. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the …
Persistent link: https://www.econbiz.de/10010326270
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Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …
Persistent link: https://www.econbiz.de/10010326487
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - 2007
conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …
Persistent link: https://www.econbiz.de/10010325333
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An Hourly Periodic State Space Model for Modelling French National Electricity Load
Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10010325676