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Fourth order pseudo maximum likelihood methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009
The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...
Persistent link: https://www.econbiz.de/10003970462
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Risk spillovers in international equity portfolios
Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012
We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...
Persistent link: https://www.econbiz.de/10010407672
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Credit Contagion in the Presence of Non-Normal Shocks
Bátiz-Zuk, Enrique; Christodoulakis, George; Poon, … - 2022
capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss …
Persistent link: https://www.econbiz.de/10014258791
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Modeling multivariate financial series and computing risk measures via Gram-Charlier-like expansions
Zoia, Maria Grazia; Vacca, Gianmarco; Barbieri, Laura - In: Risks : open access journal 8 (2020) 4/123, pp. 1-21
measures the increase in kurtosis due to the polynomial expansion, can be estimated so as to make the resulting distribution … capable of describing the empirical kurtosis found in the data. An application of the Gram-Charlier-like expansions to a set …
Persistent link: https://www.econbiz.de/10012390846
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Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008
new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …
Persistent link: https://www.econbiz.de/10011605003
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The method of moments for multivariate random sums
Javed, Farrukh; Loperfido, Nicola; Mazur, Stepan - 2024
measures of multivariate kurtosis and highlight some limitations of both projection pursuit and invariant coordinate selection. …
Persistent link: https://www.econbiz.de/10014575595
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Transformed Polynomials for Nonlinear Autoregressive Models of the Conditional Mean
Blasques, Francisco - 2012
This paper proposes a new set of transformed polynomial functions that provide a flexible setting for nonlinear autoregressive modeling of the conditional mean while at the same time ensuring the strict stationarity, ergodicity, fading memory and existence of moments of the implied stochastic...
Persistent link: https://www.econbiz.de/10010326532
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High frequency vs. daily resolution : the economic value of forecasting volatility models
Lilla, Francesca - 2016
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer of many limitations. HF data feature microstructure problem,...
Persistent link: https://www.econbiz.de/10011730304
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Factor Glut in Asset Pricing through a Modern Optimization Lens
Bakshi, Gurdip; Christensen, Timothy; Crosby, John; … - 2023
This paper addresses questions regarding the dimensionality of the stochastic discount factor and the selection of the best factors that enter it. We analyze these questions theoretically and empirically with a novel methodology which performs both (i) estimation of factor loadings and (ii) best...
Persistent link: https://www.econbiz.de/10014350213
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A ReMeDI for Microstructure Noise
Li, Z. Merrick - 2020
We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...
Persistent link: https://www.econbiz.de/10012823644