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Solving asset pricing models with stochastic volatility

De Groot, Oliver - In: Journal of economic dynamics & control 52 (2015), pp. 308-321

Persistent link: https://www.econbiz.de/10011474217

Risk sensitive linear approximations

Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015075489

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first‐order...

Persistent link: https://www.econbiz.de/10014362565

Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model

Demary, Markus - 2010

This agent-based financial market model is a generalization of the model of Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as introduced by Demary (Who Does a Currency...

Persistent link: https://www.econbiz.de/10003935223

Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

This article aims to extend evaluation of the classic multifactor model of Carhart (1997) for the case of global equity indices and to expand analysis performed in Sakowski et. al. (2015). Our intention is to test several modifications of these models to take into account different dynamics of...

Persistent link: https://www.econbiz.de/10011539896

Lohnimpulse und Wirtschaftswachstum : eine Simulationsanalyse für die Eurozone

Limbers, Jan; Petersen, Thieß; Böhmer, Michael - In: Wirtschaftsdienst : Zeitschrift für Wirtschaftspolitik 96 (2016) 2, pp. 122-127

Seit der globalen Finanz- und Wirtschaftskrise und der sich daran anschließenden Staatsschuldenkrise stellt sich die Frage, ob die Krisenländer durch eine Verbesserung ihrer internationalen preislichen Wettbewerbsfähigkeit auf einen stabilen Wachstumspfad zurückkehren können, z.B. durch...

Persistent link: https://www.econbiz.de/10011428854

The evolving transmission of uncertainty shocks in the United Kingdom

Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18

propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time …

Persistent link: https://www.econbiz.de/10011505897

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

Expected lifetime range ratio to find mean reversion : evidence from Indian stock market

Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23

We use the expected lifetime range (ELR) ratio based on the extreme values of asset prices to detect the presence of mean reversion in stock returns. We find that the actual cross-sectional average of the ELR ratio is significantly less than its bootstrap means, thereby indicating a considerable...

Persistent link: https://www.econbiz.de/10011905649

Improving Value-at-Risk estimation from the normal EGARCH model

Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary economics 11 (2017) 1, pp. 91-106

-correction step to improve Value-at-Risk (VaR) forecasting ability of the n-EGARCH (normal EGARCH) model and correct the VaR for both … to accurate for the tendency of the model tomiscalculate the VaR. Empirical results indicate that the bias …-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the …

Persistent link: https://www.econbiz.de/10011632622