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(Re)correlation : A Markov Switching Multifractal Model with Time Varying Correlations

Idier, Julien - 2010

The paper develops a Markov switching multifractal model with dynamic conditional correlations. The objective is to give more flexibility to the initial bivariate Markov switching multifractal model [MSM] (Calvet et al. (2006)) by introducing some time dependency in the comovement structure. The...

Persistent link: https://www.econbiz.de/10013146148

Intraday stock price dependence using dynamic discrete copula distributions

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2015

Persistent link: https://www.econbiz.de/10010494787

Predicting Tail Risks by a Markov Switching MGARCH Model with Varying Copula Regimes

Fülle, Markus J.; Herwartz, Helmut - 2022

To improve the dynamic assessment of risks of speculative assets, we apply a Markov switching MGARCH approach to portfolio forecasting. More specifically, we take advantage of the flexible Markov switching copula multivariate GARCH (MS-C-MGARCH) model of Fülle and Herwartz (2021). As an...

Persistent link: https://www.econbiz.de/10013405757

Non-linearities and persistence in US long-run interest rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …

Persistent link: https://www.econbiz.de/10012383724

Estimating Turkish stock market returns with APT model : cointegration and vector error correction

Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19

cointegration tests and vector error correction model analyses. The results have revealed that significant macroeconomic variables …

Persistent link: https://www.econbiz.de/10012012458

Examining the Forecasting Performance of a Modified Affine Model with Macroeconomic and Latent Factors

Evgenidis, Anastasios - 2016

Various studies model the dynamics of the yield curve assuming that some of the yields are measured without error but this methodology lacks economic interpretation. We overcome this problem by estimating a modified affine model with macroeconomic and latent factors which introduces measurement...

Persistent link: https://www.econbiz.de/10012999813

Endogenous Monetary Policy Shifts and the Term Structure : Evidence from Japanese Government Bond Yields

Koeda, Junko - 2017

I construct a no-arbitrage term structure model with endogenous regime shifts and apply it to Japanese government bond (JGB) yields. This application subjects the short-term interest rate to monetary regime shifts, such as a zero interest rate policy (ZIRP) and normal regimes, which depend on...

Persistent link: https://www.econbiz.de/10012974584

Analyzing the term structure of interest rates using the dynamic Nelson-Siegel model with time-varying parameters

Koopman, Siem Jan; Mallee, Max I. P.; Wel, Michel van der - 2007

In this discussion paper we introduce time-varying parameters in the dynamic Nelson–Siegel yield curve model for the simultaneous analysis and forecasting of interest rates of different maturities. The Nelson–Siegel model has been recently reformulated as a dynamic factor model with vector...

Persistent link: https://www.econbiz.de/10011373825

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … has for the selection of pairs of cointegrated stock prices and for the estimation and prediction of the spread between … estimation and prediction of the spread - the deviation from the equilibrium relationship - which leads to better results in …

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

. A simulation-based Bayesian procedure is introduced for predicting stable stock price ratios, defined in a cointegration … model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices …

Persistent link: https://www.econbiz.de/10011505854