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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10010325845
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Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails
Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - 2011
affect the likelihood but not the parameter dynamics. We present a modified expectation-maximization algorithm to estimate …
Persistent link: https://www.econbiz.de/10010326055
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Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...
Persistent link: https://www.econbiz.de/10010326487
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The patterns of output growth of firms and countries: New evidence on scale invariances and specificities
Castaldi, Carolina; Dosi, Giovanni - 2007
This work brings together two distinct pieces of evidence concerning, at the macro level, international distributions of incomes and their dynamics, and, at the micro level, the size distributions of firms and the properties of their growth rates. First, our empirical analysis provides a new...
Persistent link: https://www.econbiz.de/10010328462
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Large Deviations of Realized Volatility
Kanaya, Shin; Otsu, Taisuke - 2011
This paper studies large and moderate deviation properties of a realized volatility statistic of high frequency financial data. We establish a large deviation principle for the realized volatility when the number of high frequency observations in a fixed time interval increases to infinity. Our...
Persistent link: https://www.econbiz.de/10014182566
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Estimating Dynamic Equilibrium Economies : Linear Versus Nonlinear Likelihood
Fernández-Villaverde, Jesús; Rubio-Ramírez, Juan … - 2014
This paper compares two methods for undertaking likelihood-based inference in dynamic equilibrium economies: a … Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by … the model to the data as measured by the marginal likelihood. This is true even for a nearly linear case. Second, the …
Persistent link: https://www.econbiz.de/10014048591
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On Application of Generalized Poisson and Compound Distribution in Control Charts for Number of Defects Per Unit
Bhattacharjee, Dibyojyoti; Das, Kishore K. - 2010
The Poisson distribution, in general remains sensitive to small departure of frequencies especially at the right tail of the distribution. In many situations it may happen that the Generalized Poisson Distribution (GPD) or a compound distribution provides a closer fit to a frequency distribution...
Persistent link: https://www.econbiz.de/10014194324
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On a Multivariate Pareto Distribution
Asimit, Alexandru Vali; Furman, Edward; Vernic, Raluca - 2013
A multivariate distribution possessing arbitrarily parameterized Pareto margins is formulated and studied. The distribution is believed to allow for an adequate modeling of dependent heavy tailed risks with a non-zero probability of simultaneous loss. Numerous links to certain nowadays existing...
Persistent link: https://www.econbiz.de/10014153813
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Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity
Abramova, Ekaterina; Bunn, Derek W. - 2019
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...
Persistent link: https://www.econbiz.de/10014107616
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Minimax Estimation of Location Parameters for Spherically Symmetric Distributions with Concave Loss
Brandwein, Ann Cohen; Strawderman, William - 2006
usual procedures, such as the best invariant estimator, X-bar, or a maximum likelihood estimator …
Persistent link: https://www.econbiz.de/10014058516