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Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models
Chen, Xiaohong - 2019
This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series … were directly observed. These nice properties lead to simple and more accurate estimation of Value-at-Risk (VaR) for …
Persistent link: https://www.econbiz.de/10012857717
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American Option Valuation with Particle Filters
Rambharat, Bhojnarine - 2013
A method to price American-style option contracts in a limited information framework is introduced. The pricing methodology is based on sequential Monte Carlo techniques, as presented in Doucet, de Freitas, and Gordon's text "Sequential Monte Carlo Methods in Practice", and the least-squares...
Persistent link: https://www.econbiz.de/10013078762
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Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
Theodossiou, Panayiotis - 2011
This paper discusses three families of flexible parametric probability density functions: the skewed generalized t, the exponential generalized beta of the second kind, and the inverse hyperbolic sin distributions. These families allow quite flexible modeling the first four moments of a...
Persistent link: https://www.econbiz.de/10013132439
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Some Flexible Parametric Models for Partially Adaptive Estimators of Econometric Models
Hansen, Christian Bailey - 2011
conventional regression procedures, such as ordinary least squares estimation, when modeling non-normal errors with skewness and …
Persistent link: https://www.econbiz.de/10013132158
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Selection criteria in regime switching conditional volatility models
Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316
A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...
Persistent link: https://www.econbiz.de/10011297653
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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10011380176
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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010
This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … used in importance sampling for model estimation, model selection and model combination. The procedure is fully automatic …
Persistent link: https://www.econbiz.de/10011380465
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Volatility Forecasting with Double Markov Switching GARCH Models
Chen, Cathy W. S. - 2009
work to incorporate Markov switching in the mean and variance simultaneously. Parameter estimation and inference are …
Persistent link: https://www.econbiz.de/10013159442
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Markov regime-switching autoregressive model of stock market returns in Nigeria
Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83
This study is designed to model and forecast Nigeria's stock market using the AllShare Index (ASI) as a proxy. By employing the Markov regime-switching autore-gressive (MS-AR) model with data from April 2005 to September 2019, the studyanalyzes the stock market volatility in three distinct...
Persistent link: https://www.econbiz.de/10012513279
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David - 2009
This book presents in detail methodologies for the Bayesian estimation of single-regime and regime-switching GARCH … attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements … the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal …
Persistent link: https://www.econbiz.de/10013156202