Showing 1 - 10 of 1,210
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...
Persistent link: https://www.econbiz.de/10010384595
We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itô-semimartingale, is estimated with a locally adaptive...
Persistent link: https://www.econbiz.de/10009738245
In this paper we introduce the general setting of a multivariate time series autoregressive model with stochastic time-varying coefficients and time-varying conditional variance of the error process. This allows modeling VAR dynamics for non-stationary times series and estimation of time varying...
Persistent link: https://www.econbiz.de/10011405250
Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...
Persistent link: https://www.econbiz.de/10011405253
This paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the US data set constructed by Smets and Wouters. We use an indirect inference method to map from this TV VAR to time variation in implied Dynamic Stochastic General Equilibrium...
Persistent link: https://www.econbiz.de/10013048383
Karl Pearson developed the correlation coefficient r(X,Y) in 1890's. Vinod (2014) develops new generalized correlation coefficients so that when r*(Y|X) r*(X|Y) then X is the "kernel cause" of Y. Vinod (2015a) argues that kernel causality amounts to model selection between two kernel...
Persistent link: https://www.econbiz.de/10012991829
Local Projections (LP) is a popular methodology for the estimation of Impulse Responses (IR). Compared to the traditional VAR approach, LP allow for more flexible IR estimation by imposing weaker assumptions on the dynamics of the data. The nonparametric nature of LP comes at an efficiency cost...
Persistent link: https://www.econbiz.de/10012934986
This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...
Persistent link: https://www.econbiz.de/10013179339
This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first...
Persistent link: https://www.econbiz.de/10013291067
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new class of time-varying VAR models in which the coefficients...
Persistent link: https://www.econbiz.de/10013313987