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Frontiers in Time Series and Financial Econometrics: An Overview

Ling, Shiqing; McAleer, Michael; Tong, Howell - 2015

Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of...

Persistent link: https://www.econbiz.de/10010491413

Multi-period credit default prediction with time-varying covariates

Orth, Walter - 2011

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

Persistent link: https://www.econbiz.de/10010304613

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010333208

Chronicle of a death foretold: Does higher volatility anticipate corporate default?

Ampudia, Miguel; Busetto, Filippo; Fornari, Fabio - 2022

We test whether a simple measure of corporate insolvency based on equity return volatility - and denoted as Distance to Insolvency (DI) - delivers better predictions of corporate default than the widely-used Expected Default Frequency (EDF) measure computed by Moody's. We look at the predictive...

Persistent link: https://www.econbiz.de/10014374336

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George - In: Econometrics 6 (2018) 2, pp. 1-25

jumps over a grid of thresholds and selects the optimal threshold at what we term the 'take-off' point in the estimated … number of jumps. We show that this method consistently estimates the jumps and their indices as the sampling interval goes to … jumps and its ability to distinguish between true jumps and large diffusive moves. In one of these Monte Carlo studies we …

Persistent link: https://www.econbiz.de/10011995217

Jump factor models in large cross-sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative Economics 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of …

Persistent link: https://www.econbiz.de/10012215377

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Persistent link: https://www.econbiz.de/10014480607

FloGARCH: Realizing long memory and asymmetries in returns volatility

Vander Elst, Harry - 2015

We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...

Persistent link: https://www.econbiz.de/10011506800

DCC-HEAVY: A multivariate GARCH model with realized measures of variance and correlation

Xu, Yongdeng - 2019

This paper proposes a new class of multivariate volatility model that utilising high-frequency data. We call this model the DCC-HEAVY model as key ingredients are the Engle (2002) DCC model and Shephard and Sheppard (2012) HEAVY model. We discuss the models' dynamics and highlight their...

Persistent link: https://www.econbiz.de/10012429985

High frequency vs. daily resolution: The economic value of forecasting volatility models 2nd ed

Lilla, Francesca - 2017

assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …-data models at 5% and 1% VaR level. Specifically, independently from the data frequency, allowing for jumps in price (or providing …

Persistent link: https://www.econbiz.de/10011819006

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