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This paper employs a parametric model of persistent (level) shifts in the conditional mean of stock market returns which are endogenously driven by large positive or negative return shocks. These shocks can be taken to reflect important market announcements, monetary policy regime changes and/or...
Persistent link: https://www.econbiz.de/10011116283
We consider time series forecasting in the presence of ongoing structural change where both the time-series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10010839045
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10010780011
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10010709441
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10011201643
This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied dynamic stochastic general equilibrium...
Persistent link: https://www.econbiz.de/10010890903
In this paper we develop a discrete-time pricing model for European options where the log-return of the underlying asset is subject to discontinuous regime shifts in its mean and/or volatility which follow a Markov chain. The model allows for multiple regime shifts whose risk cannot be hedge out...
Persistent link: https://www.econbiz.de/10010939531
Persistent link: https://www.econbiz.de/10011085366
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Persistent link: https://www.econbiz.de/10010884579