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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...
Persistent link: https://www.econbiz.de/10009537332
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Nonparametric estimation of risk-neutral densities
Grith, Maria; Härdle, Wolfgang; Schienle, Melanie - 2010
This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches which do not require parametric functional assumptions on the underlying asset price dynamics nor on the distributional form of the risk neutral density. The first estimator is a...
Persistent link: https://www.econbiz.de/10003953034
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Let's get LADE : robust estimation of semiparametric multiplicative volatility models
Koo, Bonsoo; Linton, Oliver - 2013
We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...
Persistent link: https://www.econbiz.de/10009719116
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Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information
Koo, Bonsoo - 2019
We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing of coupon-paying government bonds followed over many time periods. We use our model to estimate the discount function and yield curve of nominally riskless government bonds. The...
Persistent link: https://www.econbiz.de/10012891762
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Large Dimensional Time-Varying GMM Estimation : A New Approach
Cui, Liyuan; Hong, Yongmiao; Wang, Junhui - 2021
We develop a novel machine learning method to estimate large dimensional time-varying GMM models via our newly designed …
Persistent link: https://www.econbiz.de/10013234588
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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series
Koopman, Siem Jan; Wong, Soon Yip - 2006
A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...
Persistent link: https://www.econbiz.de/10011350381
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A data-driven selection of an appropriate seasonal adjustment approach
Webel, Karsten - 2016
Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...
Persistent link: https://www.econbiz.de/10011452778
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Permutation entropy and information recovery in nonlinear dynamic economic time series
Henry, Miguel; Judge, George G. - In: Econometrics : open access journal 7 (2019) 1/10, pp. 1-16
The focus of this paper is an information theoretic-symbolic logic approach to extract information from complex economic systems and unlock its dynamic content. Permutation Entropy (PE) is used to capture the permutation patterns-ordinal relations among the individual values of a given time...
Persistent link: https://www.econbiz.de/10012025643
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EmmPack 1.01 : C/C++ code for use with Ox for estimation of univariate stochastic volatility models with the efficient method of moments
Sluis, Pieter J. van der - 1998
Econometric estimation using simulation techniques, such as the efficient method of moments, may betime consuming. The use of ordinary matrix programming languages such as Gauss, Matlab, Ox or S-plus will very often cause extra delay. For the Efficient Method of Moments implemented to...
Persistent link: https://www.econbiz.de/10010533201
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Nonparametric estimation of triangular simultaneous equations models under weak identification
Han, Sukjin - In: Quantitative economics : QE ; journal of the … 11 (2020) 1, pp. 161-202
This paper analyzes the problem of weak instruments on identification, estimation, and inference in a simple … nonparametric model of a triangular system. The paper derives a necessary and sufficient rank condition for identification, based on … which weak identification is established. Then nonparametric weak instruments are defined as a sequence of reduced …
Persistent link: https://www.econbiz.de/10012202234