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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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Money-Income Granger-Causality in Quantiles
Lee, Tae-Hwy; Yang, Weiping - Department of Economics, University of California-Riverside - 2014
The causal relationship between money and income (output) has been an important topic and has been extensively studied. However, those empirical studies are almost entirely on Granger-causality in the conditional mean. Compared to conditional mean, conditional quantiles give a broader picture of...
Persistent link: https://www.econbiz.de/10010944665
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A structural cointegrating VAR approach to macroeconometric modelling
Garratt, A; Lee, K; Pesaran, M H; Shin, Yongcheol - School of Economics, University of Edinburgh - 1999
In this paper we discuss the 'structural cointegrating VAR' approach to macroeconometric modelling and compare it to other approaches currently followed in the literature, namely the large-scale simultaneous equation macroeconometric models, the structural VARs, and the dynamic stochastic...
Persistent link: https://www.econbiz.de/10005086759
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L'effet dynamique des chocs d'offre et de demande agrégés. Une étude sur le cas allemand
Legrand, Romain - In: Revue économique 63 (2012) 1, pp. 129-155
Germany represents a particular case in Europe because of the occurrence of two major structural changes since the end … of the Seventies : first the reunification of the Federal Republic of Germany and the German Democratic Republic in 1990 …
Persistent link: https://www.econbiz.de/10009650728
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Lies, Damned Lies, and Statistics? Examples From Finance and Economics
Abadir, Karim M. - In: Central European Journal of Economic Modelling and … 5 (2013) 4, pp. 231-248
Reliable data analysis is one of the hardest tasks in sciences and social sciences. Often misleading and sometimes puzzling results arise when the analysis is done without regard for the special features of the data. In this exposition, I will focus on designing new statistical tools to deal...
Persistent link: https://www.econbiz.de/10010750239
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An Asymmetric Block Dynamic Conditional Correlation Multivariate GARCH Model
Vargas, Gregorio A. - Volkswirtschaftliche Fakultät, … - 2006
The Block DCC model for determining dynamic correlations within and between groups of financial asset returns is extended to account for asymmetric effects. Simulation results show that the Asymmetric Block DCC model is competitive in in-sample forecasting and performs better than alternative...
Persistent link: https://www.econbiz.de/10005836313
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The Consumption-Wealth Ratio Under Asymmetric Adjustment
Alexandre, Fernando; Gabriel, Vasco J.; Bação, Pedro - Núcleo de Investigação em Políticas Económicas … - 2007
relationship to di®er across regimes. Estimation of the system suggests that these states are related to the behaviour of ¯nancial … markets. In fact, estimation of the system suggests that short-term deviations in the consumption-wealth ratio will forecast …
Persistent link: https://www.econbiz.de/10005771632
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Bayesian Inference in a Stochastic Volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …
Persistent link: https://www.econbiz.de/10008496955
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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - Tinbergen Institute - 2007
-step state-space estimation approach the four-factor model produces accurate forecasts and outperforms competitor models across …
Persistent link: https://www.econbiz.de/10005137361
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Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
Ooms, Marius; Carnero, M. Angeles; Koopman, Siem Jan - Econometric Society - 2004
towards volatility features of the time series. For the older electricity market of Nord Pool in Norway, it is found that a … electricity markets that we consider (APX in The Netherlands, EEX in Germany and Powernext in France) periodicity in the …
Persistent link: https://www.econbiz.de/10005063668