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A hybrid joint moment ratio test for financial times series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
Persistent link: https://www.econbiz.de/10000994244
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Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
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Information theoretic optimality of observation driven time series models
Blasques, Francisco; Koopman, Siem Jan; Lucas, André - 2014
-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …
Persistent link: https://www.econbiz.de/10010340740
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Intraday stock price dependence using dynamic discrete copula distributions
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
Persistent link: https://www.econbiz.de/10010494787
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A hybrid joint moment ratio test for financial time series
Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - In: Journal of empirical finance 29 (2014), pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
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Score driven exponentially weighted moving averages and value-at-risk forecasting
Lucas, André; Zhang, Xin - 2015
volatility of individual stock returns and exchange rate returns. …
Persistent link: https://www.econbiz.de/10011332948
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Intraday stochastic volatility in discrete price changes : the dynamic Skellam model
Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015
We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …
Persistent link: https://www.econbiz.de/10011295740
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Finite sample optimality of score-driven volatility models
Blasques, Francisco; Lucas, André; Vlodrop, Andries van - 2017
We study optimality properties in finite samples for time-varying volatility models driven by the score of the …-driven volatility models have optimality properties when they matter most. Score-driven models perform best when the data is fat …
Persistent link: https://www.econbiz.de/10011772958