Narrow search
Showing 1 - 10 of 362
Cover Image
Discussion of “Principal Volatility Component Analysis” by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - Tinbergen Instituut - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), “Principal Volatility Component Analysis”. The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10011257320
Cover Image
Ten Things you should know about DCC
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
from diagonal BEKK in small systems; and DCC may be a useful filter or a diagnostic check, but it is not a model. … Conditional Correlation (DCC) representation for estimating and forecasting time-varying conditional correlations. The reasons … given for caution about the use of DCC include the following: DCC represents the dynamic conditional covariances of the …
Persistent link: https://www.econbiz.de/10011256093
Cover Image
Frontiers in Time Series and Financial Econometrics: An Overview
Ling, Shiqing; McAleer, Michael; Tong, Howell - Tinbergen Instituut - 2015
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...
Persistent link: https://www.econbiz.de/10011257486
Cover Image
Ten Things you should know about the Dynamic Conditional Correlation Representation
Caporin, Massimiliano; McAleer, Michael - Tinbergen Instituut - 2013
the effect of news is typically extremely small; DCC cannot be distinguished empirically from diagonal BEKK in small … discuss ten things potential users should know about the limits of the Dynamic Conditional Correlation (DCC) representation … for estimating and forecasting time-varying conditional correlations. The reasons given for caution about the use of DCC …
Persistent link: https://www.econbiz.de/10011255860
Cover Image
Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Tinbergen Instituut - 2013
Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the …
Persistent link: https://www.econbiz.de/10011256725
Cover Image
The Dynamic Skellam Model with Applications
Koopman, Siem Jan; Lit, Rutger; Lucas, André - Tinbergen Instituut - 2014
We introduce a dynamic statistical model for Skellam distributed random variables. The Skellam distribution can be obtained by taking differences between two Poisson distributed random variables. We treat cases where observations are measured over time and where possible serial correlation is...
Persistent link: https://www.econbiz.de/10011256555
Cover Image
Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models
Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - Tinbergen Instituut - 2014
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10011256750
Cover Image
Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models
Blasques, Francisco; Lucas, Andre; Silde, Erkki - Tinbergen Instituut - 2013
We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation models. These models have important applications in empirical work. The regions are derived from sufficiency conditions in Bougerol (1993) and take a non-standard form. We show...
Persistent link: https://www.econbiz.de/10011255560
Cover Image
GARCH Models for Daily Stock Returns: Impact of Estimation Frequency on Value-at-Risk and Expected Shortfall Forecasts
Ardia, David; Hoogerheide, Lennart - Tinbergen Instituut - 2013
We analyze the impact of the estimation frequency - updating parameter estimates on a daily, weekly, monthly or quarterly basis - for commonly used GARCH models in a large-scale study, using more than twelve years (2000-2012) of daily returns for constituents of the S&P 500 index. We assess the...
Persistent link: https://www.econbiz.de/10011257409
Cover Image
A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process
Hafner, Christian M.; McAleer, Michael - Tinbergen Instituut - 2014
One of the most widely-used multivariate conditional volatility models is the dynamic conditional correlation (or DCC …) specification. However, the underlying stochastic process to derive DCC has not yet been established, which has made problematic the … QMLE of the DCC parameters have been derived under highly restrictive and unverifiable regularity conditions. The paper …
Persistent link: https://www.econbiz.de/10011257506