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We quantify crash risk in currency returns. To accomplish this task, we develop and estimate an empirical model of …% (and can be as high as 40%) of total currency risk, as measured by the entropy of exchange rate changes, over horizons of … smiles and that jump risk is priced …
Persistent link: https://www.econbiz.de/10013037072
measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …
Persistent link: https://www.econbiz.de/10014314068
incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …-term real risk-free interest rate, real consumption growth, and real dividend growth. Our results indicate that, over short and …
Persistent link: https://www.econbiz.de/10013094186
stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices …
Persistent link: https://www.econbiz.de/10012711746
evidence for stochastic intensity and stochastic volatility models based on Ornstein-Uhlenbeck processes. For our empirical …
Persistent link: https://www.econbiz.de/10013005987
We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian … estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …
Persistent link: https://www.econbiz.de/10011456723
general class of discrete-time stochastic volatility (SV) models, characterized by both a leverage effect and jumps in returns … provides a feasible basis for undertaking the nontrivial task of model comparison. Furthermore, we introduce new volatility … model, namely SV-GARCH which attempts to bridge the gap between GARCH and stochastic volatility specifications. In nesting …
Persistent link: https://www.econbiz.de/10014185810
This work deals with multivariate stochastic volatility models, which account for a time-varying variance … the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for …
Persistent link: https://www.econbiz.de/10014220749
-time version of the stochastic volatility (SV) model. The Bayesian approach represents a feasible way to estimate SV models. Under …
Persistent link: https://www.econbiz.de/10013116422
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640