Showing 1 - 10 of 68
In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...
Persistent link: https://www.econbiz.de/10010292350
Gaussian affine term structure models attribute time-varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a...
Persistent link: https://www.econbiz.de/10013189716
Dramatic changes in macroeconomic time series volatility pose a challenge to contemporary vector autoregressive (VAR) forecasting models. Traditionally, the conditional volatility of such models had been assumed constant over time or allowed for breaks across long time periods. More recent work,...
Persistent link: https://www.econbiz.de/10011260282
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC …
Persistent link: https://www.econbiz.de/10011195567
Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been intro- duced in...
Persistent link: https://www.econbiz.de/10005730008
given point is estimated through a sequence of reduced runs of the MCMC algorithm, which is a particular case of a bridge …
Persistent link: https://www.econbiz.de/10005345362
This paper assesses the relation between the yield curve and the main macroeconomic variables in the U.S. between early 1970s and 2000. We revisit the macro-finance model of Diebold et al. (2006) with the inclusion of a stochastic volatility structure for the latent factors and macroeconomic...
Persistent link: https://www.econbiz.de/10010539836
In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...
Persistent link: https://www.econbiz.de/10010555040
In this paper we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...
Persistent link: https://www.econbiz.de/10010556277
We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC …
Persistent link: https://www.econbiz.de/10009364346