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Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10010295743

Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models

Liesenfeld, Roman; Richard, Jean-François - 2004

In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...

Persistent link: https://www.econbiz.de/10010296235

The Decline in German Output Volatility: A Bayesian Analysis

Liesenfeld, Roman; Hogrefe, Jens; Aßmann, Christian - 2005

Empirical evidence suggests a sharp volatility decline of the growth in U.S. gross domestic product (GDP) in the mid-1980s. Using Bayesian methods, we analyze whether a volatility reduction can also be detected for the German GDP. Since statistical inference for volatility processes critically...

Persistent link: https://www.econbiz.de/10010296255

Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models

Franke, Reiner - 2008

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...

Persistent link: https://www.econbiz.de/10010296307

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 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/10010298374

Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model

Demary, Markus - 2009

This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as...

Persistent link: https://www.econbiz.de/10010299487

Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model

Demary, Markus - In: Economics: The Open-Access, Open-Assessment E-Journal 4 (2010) 2010-8, pp. 1-44

This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency...

Persistent link: https://www.econbiz.de/10010299955

Interest Rate Smoothing versus Serially Correlated Errors in Taylor Rules: Testing the Tests

Welz, Peter; Österholm, Pär - 2005

This paper contributes to the recent debate about the estimated high partial adjustment coefficient in dynamic Taylor rules, commonly interpreted as deliberate interest rate smoothing on the part of the monetary authority. We argue that a high coefficient on the lagged interest rate term may be...

Persistent link: https://www.econbiz.de/10010321535

Incorporating Judgement in Fan Charts

Österholm, Pär - 2006

Within a decision-making group, such as the monetary-policy committee of a central bank,group members often hold differing views about the future of key economic variables. Such differences of opinion can be thought of as reflecting differing sets of judgement. This paper suggests modelling each...

Persistent link: https://www.econbiz.de/10010321568

Forecasting short-run inflation volatility using futures prices: An empirical analysis from a value at risk perspective

Benavides, Guillermo - 2010

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR) of an inflation … traded at the Mexican Derivatives Exchange (MEXDER). To analyze the VaR with time horizons of more than one trading day … day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer …

Persistent link: https://www.econbiz.de/10010322620