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Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
Veredas, David - 2013
from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P100 from …
Persistent link: https://www.econbiz.de/10013092430
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Joint modelling and estimation of global and local cross-sectional dependence in large panels
Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021
We propose a new unified approach to identifying and estimating spatio-temporal dependence structures in large panels. The model accommodates global crosssectional dependence due to global dynamic factors as well as local cross-sectional dependence, which may arise from local network structures....
Persistent link: https://www.econbiz.de/10012421000
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Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise
Nolte, Ingmar - 2011
dependence between the price and noise processes provides an often missing link to market microstructure theory. We find …
Persistent link: https://www.econbiz.de/10013134748
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Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - 2020
We analyse volatility spillovers between the on- and offshore (CNY and CNH) Renminbi exchange rates towards the US dollar (USD). The volatility impulse response (VIRF) methodology introduced by Hafner and Herwatz (2006) is applied to several shocks between January 2012 and December 2019....
Persistent link: https://www.econbiz.de/10012294928
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Small Sample Properties of Panel Time-Series Estimators with I(1) Errors
Fuertes, Ana-Maria; Coakley, Jerry; Smith, Ron - 2001
Monte Carlo simulations are used to explore the small sample properties of a mean group and two pooled panel estimators … theory is relevant to practical applications. With I(0) errors and homogeneous coefficients, the estimators are unbiased … heterogeneous coefficients. The mean group estimators, however, are generally correctly sized. An application to a panel of OECD …
Persistent link: https://www.econbiz.de/10014129429
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...
Persistent link: https://www.econbiz.de/10014071881
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...
Persistent link: https://www.econbiz.de/10010357912
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Bayesian estimation of sparse dynamic factor models with order-independent identification
Kaufmann, Sylvia; Schumacher, Christian - 2013
The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal …
Persistent link: https://www.econbiz.de/10010221685
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Imposing Views on Frequency Domain Factor Models
van der Schans, Martin - 2016
In this paper, we introduce a methodology that allows for imposing views on density forecasts of a (frequency domain) factor based time series model. Such a model produces a density forecast for the future evolution of economic and financial variables such as interest rates, asset returns and...
Persistent link: https://www.econbiz.de/10013007631
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Exponent of cross-sectional dependence for residuals
Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018
In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel …
Persistent link: https://www.econbiz.de/10011900761