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General Bayesian time-varying parameter VARs for modeling government bond yields
Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022
Persistent link: https://www.econbiz.de/10012498662
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The associations between stock prices, inflation rates, interest rates are still persistent : empirical evidence from stock duration model
Eldomiaty, Tarek Ibrahim; Saeed, Yasmeen; Hammam, Rasha; … - In: Journal of economics, finance & administrative science 25 (2020) 49, pp. 149-161
/methodology/approach - The authors use standard statistical tools that include Johansen cointegration test, linearity, normality tests …, cointegration regression, Granger causality and vector error correction model. Findings - The results of panel Johansen … cointegration analysis show that cointegration exists between the stock prices, the changes in stock prices due to inflation rates …
Persistent link: https://www.econbiz.de/10012260161
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Can US stocks provide a safe haven from interest and inflation risk? : a sector level examination of the response to unanticipated nominal, real interest and inflation rate shocks
González Pérez, María de la O; Jareño, Francisco; … - 2015
Persistent link: https://www.econbiz.de/10010520772
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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...
Persistent link: https://www.econbiz.de/10012520275
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Allocation to industry portfolios under Markov switching returns
Tudor, Deniz Kebabci - In: Studies in economics and finance 30 (2013) 4, pp. 317-346
Persistent link: https://www.econbiz.de/10010207358