Showing 1 - 10 of 84
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013)such that the estimated matrix is positive definite. Using this approach we can disentangle the...
Persistent link: https://www.econbiz.de/10010477100
A wide variety of conditional and stochastic variance models has been used to estimate latent volatility (or risk). In both the conditional and stochastic volatility literature, there has been some confusion between the definitions of asymmetry and leverage. In this paper, we first show the...
Persistent link: https://www.econbiz.de/10013156686
Persistent link: https://www.econbiz.de/10011795307
Persistent link: https://www.econbiz.de/10009784936
Persistent link: https://www.econbiz.de/10011415577
In this paper, the annual maximum daily rainfall data from 1961 to 2010 are modelled for 18 stations in Taiwan. We fit … based on the record-high (ranked 1st) extreme rainfall brought by the top 10 typhoons for each station in Taiwan. The … extreme rainfall in the southern region is greater than in the eastern region of Taiwan. In addition, the Keelung, Anbu …
Persistent link: https://www.econbiz.de/10010326140
Taiwan, and detect the changes between the two phases for extreme rainfall. The non-stationary model means that the location … generalized extreme value distributions to model extreme rainfall in Taiwan. …
Persistent link: https://www.econbiz.de/10010326156
the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA … sources to Taiwan, namely USA, Japan, and China. Furthermore, all the return series reveal quite high volatility spillovers …
Persistent link: https://www.econbiz.de/10010326433
the empirical analysis is for Taiwan, where we have three decades of quarterly data available of forecasts and their … updates of the inflation rate and real GDP growth rate. Our empirical results suggest that the forecast updates for Taiwan are …
Persistent link: https://www.econbiz.de/10010326444
Persistent link: https://www.econbiz.de/10003775872