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Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-21

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

Persistent link: https://www.econbiz.de/10012611110

The R-package MitISEM: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2015

This paper presents the R-package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel -- typically a posterior density kernel -- using an adaptive mixture...

Persistent link: https://www.econbiz.de/10011288392

Joint Independent Metropolis-Hastings Methods for Nonlinear Non-Gaussian State Space Models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2012

We propose a new methodology for the Bayesian analysis of nonlinear non-Gaussian state space models with a Gaussian time-varying signal, where the signal is a function of a possibly high-dimensional state vector. The novelty of our approach is the development of proposal densities for the joint...

Persistent link: https://www.econbiz.de/10010326393

The R Package MitISEM: Mixture of Student-t Distributions using Importance Sampling Weighted Expectation Maximization for Efficient and Robust Simulation

Basturk, Nalan; Hoogerheide, Lennart; Opschoor, Anne; … - 2012

This paper presents the R package MitISEM, which provides an automatic and flexible method to approximate a non-elliptical target density using adaptive mixtures of Student-t densities, where only a kernel of the target density is required. The approximation can be used as a candidate density in...

Persistent link: https://www.econbiz.de/10010326521

Parallelization Experience with Four Canonical Econometric Models using ParMitISEM

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2016

This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approximate a non-elliptical target density using...

Persistent link: https://www.econbiz.de/10011451514

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10010491347

The R Package Mitisem: Efficient and Robust Simulation Procedures for Bayesian Inference

Basturk, Nalan; Grassi, Stefano; Hoogerheide, Lennart; … - 2017

This paper presents the R package MitISEM (mixture of t by importance sampling weighted expectation maximization) which provides an automatic and flexible two-stage method to approximate a non-elliptical target density kernel - typically a posterior density kernel - using an adaptive mixture of...

Persistent link: https://www.econbiz.de/10012143909

Estimating US Fiscal and Monetary Interactions in a Time Varying VAR

Gerba, Eddie; Hauzenberger, Klemens - 2013

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...

Persistent link: https://www.econbiz.de/10010443359

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010292668

Empirical performance of the Czech and Hungarian index options under jump

Lee, Gabriel S.; Boss, Michael; Klisz, Chris - 2001

find that the Poisson jump-diffusion and not the GARCH (1,1) process lends statistical support for the data description. We …

Persistent link: https://www.econbiz.de/10010292775

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