Showing 1 - 10 of 52,646
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …
Persistent link: https://www.econbiz.de/10010477582
Persistent link: https://www.econbiz.de/10011583871
Persistent link: https://www.econbiz.de/10011737672
Persistent link: https://www.econbiz.de/10014306066
Persistent link: https://www.econbiz.de/10012295205
Persistent link: https://www.econbiz.de/10011594437
Persistent link: https://www.econbiz.de/10011504634
Persistent link: https://www.econbiz.de/10011747311
Persistent link: https://www.econbiz.de/10012259100
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
Persistent link: https://www.econbiz.de/10011933414