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three US financial assets, we compare the realized MEGARCH models with existing multivariate GARCH class models. The …The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and … realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric …
Persistent link: https://www.econbiz.de/10011794277
We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …
Persistent link: https://www.econbiz.de/10010270805
development of adjacent age groups is assured allowing for consistent forecasts. We develop an appropriate Markov Chain Monte … Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the Bayesian …
Persistent link: https://www.econbiz.de/10010276366
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...
Persistent link: https://www.econbiz.de/10011844588
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012405305
approach using a Bayesian MS-VAR which is net of these arbitrary components. This method allows for the consistent … method on artificial as well a real data and conduct an empirical backtest, in which generated scenarios are compared to the … actual development during the financial crisis. The method is challenged with the DSGE model and conditional forecasting. …
Persistent link: https://www.econbiz.de/10012496739
This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using …
Persistent link: https://www.econbiz.de/10012501159
This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the … parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10010325986
. A state-dependent volatility spillover GARCH hedging strategy is developed to capture the regime switching global equity …
Persistent link: https://www.econbiz.de/10011883272
using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of …
Persistent link: https://www.econbiz.de/10010318363