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Novel Approaches to Coherency Conditions in LDV Models
Hajivassiliou, Vassilis - London School of Economics and Political Science - 2008
The paper discusses the major identi…fication issue of coherency conditions in LDVmodels with endogeneity and flexible temporal and contemporaneous correlations inthe unobservables. Conditions for coherency as discussed in the existing literatureare reviewed and shown to be rather esoteric. Two...
Persistent link: https://www.econbiz.de/10008911509
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Survival of Noise Traders and the Implications for Asset Prices
Bucher, Mathias; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005
This paper shows that in financial markets with endogenous asset supply and demand, both rational and noise traders do coexist in the long run. The finding implies that financial markets are neither informationally nor allocationally efficient. While rational traders have a consistently higher...
Persistent link: https://www.econbiz.de/10005858738
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The dynamics of real exchange rates – A reconsideration
Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2011
While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-runconcept the specific dynamic driving the process is largely build upon a priori economicbelief rather than a thorough statistical modeling procedure. The two prevailing timeseries models, i.e. the exponential smooth...
Persistent link: https://www.econbiz.de/10009302598
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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10005860533
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Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10005860578
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Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model
Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10005860983
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On the Appropriateness of Inappropriate VaR Models
Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...
Persistent link: https://www.econbiz.de/10005854718
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A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper we develop a structural equation model with latent variables in an ordinal setting which allows us to test broker-dealer predictive ability of financial market movements. We use a multivariate logit model in a latent factor framework, develop a tractable estimator based on a...
Persistent link: https://www.econbiz.de/10005858728
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Beta Regimes for the Yield Curve
Audrino, Francesco; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We propose an affine term structure model which accommodates non-linearities in the drift and volatility function of the short-term interest rate. Such non-linearities are a consequence of discrete beta-distributed regime shifts constructed on multiple thresholds. We derive iterative closed form...
Persistent link: https://www.econbiz.de/10005858872
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Estimation and Speci fication Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity
Hajivassiliou, Vassilis - London School of Economics and Political Science - 2009
consistency and asymptotic efficiency of the methodin panel data despite non-ignorable persistent heterogeneity driven by … correlationsbetween the heterogeneity and the regressors. The approach is extremely easy toimplement and allows straightforward tests of … the signi…ficance of such correlationsthat lie behind the non-ignorable persistent heterogeneity. The method applies …
Persistent link: https://www.econbiz.de/10008911507