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Global and local stationary modelling in finance : theory and empirical evidence.
Guégan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets coming from existence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. We study the problem caused by these non stationarities on the estimation of the sample autocorrelation...
Persistent link: https://www.econbiz.de/10005670891
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Non-stationarity and meta-distribution.
Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...
Persistent link: https://www.econbiz.de/10005510618
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Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
Amilon, Henrik - 2006
Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized...
Persistent link: https://www.econbiz.de/10012732739
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What Moves Stock Prices? Evidence that UK Stock Prices Deviate from Fundamentals
Allen, David E. - 2000
This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and non-fundamental...
Persistent link: https://www.econbiz.de/10012743083
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Estimation of an Adaptive Stock Market Model with Heterogeneous Agents
Amilon, Henrik - Sveriges Riksbank - 2005
Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated returns are found to exhibit various stylized...
Persistent link: https://www.econbiz.de/10005423762
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Copulas and bivariate Risk measures : an application to hedge funds
Bedoui, Rihab; Ben Dbabis, Makram - Université Paris-Dauphine (Paris IX) - 2009
.Otherwise, copulas are a statistic tool to model the dependence in a realistic and less restrictive way,taking better account of the … stylized facts in finance.This paper is a practical implementation of the copulas theory to model dependence between differen … bivariate VaR level curves and to study extremal dependence between hedgefunds strategies and share index returns through the …
Persistent link: https://www.econbiz.de/10011074324
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Generalized Integer-Valued Autoregression
Brännäs, Kurt; Hellström, Jörgen - Institutionen för Nationalekonomi, Umeå Universitet - 1999
The integer-valued AR(1) model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and...
Persistent link: https://www.econbiz.de/10005198011
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Classification of competitiveness types using copula
Mereuta, Cezar; Albu, Lucian liviu; Ciuiu, Daniel - Volkswirtschaftliche Fakultät, … - 2010
dominance of the leader. For this purpose we use the notion of copula, which connects two or more random variables with given … parameter of the copula is computed using the value of Kendall. …
Persistent link: https://www.econbiz.de/10009004848
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Dynamic Copula Models and High Frequency Data
Salvatierra, Irving Arturo De Lira; Patton, Andrew J. - Duke University, Department of Economics - 2013
This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high … significantly improves the in-sample fit of dynamic copula models across a range of U.S. equity returns. Moreover, we find that out … choice problem to illustrate the economic gains from exploiting high frequency data for modeling dynamic dependence. …
Persistent link: https://www.econbiz.de/10010834069
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Dynamic copula models and high frequency data
De Lira Salvatierra, Irving; Patton, Andrew J. - In: Journal of Empirical Finance 30 (2015) C, pp. 120-135
This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high … significantly improves the in-sample fit of dynamic copula models across a range of U.S. equity returns. Moreover, we find that out … choice problem to illustrate the economic gains from exploiting high frequency data for modeling dynamic dependence. …
Persistent link: https://www.econbiz.de/10011208492