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Markov chain Monte Carlo methods for stochastic volatility models

Chib, Siddhartha; Nardari, Federico; Shephard, Neil - 2002

This paper is concerned with simulation-based inference in generalized models of stochastic volatility defined by heavy-tailed Student-t distributions (with unknown degrees of freedom) and exogenous variables in the observation and volatility equations and a jump component in the observation...

Persistent link: https://www.econbiz.de/10009441450

Pricing Options on Commodity Futures: The Role of Weather and Storage

Bozic, Marin; Fortenbery, T. Randall - 2011

the period 1995-2009 to estimate the implied skewness parameter separately for each trading day. An economic explanation … is then presented for inter-year variations in implied skewness based on the theory of storage. After controlling for … skewness, as predicted by the theory of storage. Furthermore, intra-year dynamics of implied skewness reflect the fact that …

Persistent link: https://www.econbiz.de/10009444328

Parametric properties of semi-nonparametric distributions, with applications to option valuation

León, Angel M.; Mencía González, Javier; Sentana, Enrique - 2007

We derive the statistical properties of the SNP densities of Gallant and Nychka (1987). We show that these densities, which are always positive, are more flexible than truncated Gram-Charlier expansions with positivity restrictions. We use the SNP densities for financial derivatives valuation....

Persistent link: https://www.econbiz.de/10012530160

Distributional tests in multivariate dynamic models with normal and student t innovations

Mencía González, Javier; Sentana, Enrique - 2010

corresponding Lagrange Multiplier-type tests into skewness and kurtosis components, from which we obtain more powerful one …

Persistent link: https://www.econbiz.de/10012530297

Leverage and deepening business cycle skewness

Jensen, Henrik; Petrella, Ivan; Ravn, Søren Hove; … - 2017

Documentamos que la economía de Estados Unidos se ha caracterizado por una asimetría del ciclo económico cada vez más negativa durante las últimas tres décadas. Este hallazgo puede explicarse por el aumento del apalancamiento financiero de hogares y empresas. Para mostrar esto, diseñamos...

Persistent link: https://www.econbiz.de/10012530573

Does the added worker effect matter?

Guner, Nezih; Kulikova, Yuliya; Valladares-Esteban, Arnau - 2021

’s. Without the AWE, married women’s employment would be as volatile as men and display negative skewness (declining quickly in …

Persistent link: https://www.econbiz.de/10012548668

Skewed SVARs: tracking the structural sources of macroeconomic tail risks

Montes-Galdón, Carlos; Ortega, Eva

structural shocks (SVAR) that are identified using sign restrictions and whose distribution is subject to time-varying skewness … variation in the skewness of demand, supply and monetary policy shocks between 1999 and 2019. This variation lies behind a …

Persistent link: https://www.econbiz.de/10013164784