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A Note on "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model"
Blasques, Francisco; Gorgi, Paolo; Koopman, Siem Jan; … - 2015
We revisit Wintenberger (2013) on the continuous invertibility of the EGARCH(1,1) model. We note that the definition of … continuous invertibility adopted in Wintenberger (2013) may not always be sufficient to deliver strong consistency of the QMLE …
Persistent link: https://www.econbiz.de/10011403589
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What they did not tell you about algebraic (non-)existence, mathematical (ir-)regularity and (non-)asymptotic properties of the Dynamic Conditional Correlation (DCC) model
McAleer, Michael - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-9
In order to hedge efficiently, persistently high negative covariances or, equivalently, correlations, between risky assets and the hedging instruments are intended to mitigate against financial risk and subsequent losses. If there is more than one hedging instrument, multivariate covariances and...
Persistent link: https://www.econbiz.de/10012611137
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010303692
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Equity market contagion in return volatility during Euro Zone and global financial crises: Evidence from FIMACH model
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-18
The current paper studies equity markets for the contagion of squared index returns as a proxy for stock market volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including the US, UK, Euro Zone and BRICS (Brazil, Russia,...
Persistent link: https://www.econbiz.de/10012611104
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Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework
Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-13
distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that …
Persistent link: https://www.econbiz.de/10012611124
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10010308578
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010281483
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Panel Data Econometrics: Modelling and Estimation
Hübler, Olaf - 2005
multilevel models with a new variant are discussed. Furthermore, non-linear, nonparametric and semiparametric models are analyzed …. In contrast to linear models there do not exist unified methods for nonlinear approaches. In this case FEM are dominated … simulated estimators exist. If the nonlinear function is not exactly known, nonparametric or semiparametric methods should be …
Persistent link: https://www.econbiz.de/10010262940
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Stationarity and Invertibility of a Dynamic Correlation Matrix
mcAleer, Michael - 2017
the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …
Persistent link: https://www.econbiz.de/10011819475
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Maximum likelihood estimation for non-stationary location models with mixture of normal distributions
Blasques, Francisco; van Brummelen, Janneke; Gorgi, Paolo; … - 2022
We consider an observation-driven location model where the unobserved location variable is modeled as a random walk process and where the error variable is from a mixture of normal distributions. The mixed normal distribution can approximate many continuous error distributions accurately. We...
Persistent link: https://www.econbiz.de/10012797266