Narrow search
Showing 1 - 10 of 998
Cover Image
Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006
volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …
Persistent link: https://www.econbiz.de/10005858509
Cover Image
Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …
Persistent link: https://www.econbiz.de/10005858515
Cover Image
In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008
Cai, Lili; Swanson, Norman R. - 2011
We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of...
Persistent link: https://www.econbiz.de/10010282832
Cover Image
Volatility, Information and Stock Market Crashes
Antonakakis, Nikolaos; Scharler, Johann - 2009
In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …
Persistent link: https://www.econbiz.de/10010294846
Cover Image
Robust Efficient Method of Moments
Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...
Persistent link: https://www.econbiz.de/10005858309
Cover Image
The scarcity value of Treasury collateral: Repo market effects of security-specific supply and demand factors
D'Amico, Stefania; Fan, Roger; Kitsul, Yuriy - 2013
In the repo market, forward agreements are security-specific (i.e., there are no deliverable substitutes), which makes it an ideal place to measure the value of fluctuations in a security's available supply. In this study, we quantify the scarcity value of Treasury collateral by estimating the...
Persistent link: https://www.econbiz.de/10010352183
Cover Image
DSGE priors for BVAR models
Filippeli, Thomai; Theodoridis, Konstantinos - 2014
Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the...
Persistent link: https://www.econbiz.de/10010368161
Cover Image
Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...
Persistent link: https://www.econbiz.de/10011460766
Cover Image
Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …
Persistent link: https://www.econbiz.de/10011460767
Cover Image
Objective Bayesian meta-analysis based on generalized multivariate random effects model
Bodnar, Olha; Bodnar, Taras - 2021
Objective Bayesian inference procedures are derived for the parameters of the multivariate random effects model generalized to elliptically contoured distributions. The posterior for the overall mean vector and the between-study covariance matrix is deduced by assigning two noninformative priors...
Persistent link: https://www.econbiz.de/10012654475