Narrow search
Showing 1 - 10 of 5,565
Cover Image
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
Cover Image
Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
Cover Image
Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed … divergent when volatility clusters idiosyncratically.It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selectedordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012250452
Cover Image
Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are … divergent when volatility clusters idiosyncratically. It is illustrated that this property is important for empirical … indicate that conclusions may critically hinge on a selected ordering of variables. The dynamic correlation Cholesky …
Persistent link: https://www.econbiz.de/10012424283
Cover Image
Change-Point Detection in the Covariance Structure of Multivariate Volatility Models
Barassi, Marco R. - 2017
conditional correlation (CCC), dynamic conditional correlation (DCC), factor, asymmetric DCC and BEKK. Our simulations show that …
Persistent link: https://www.econbiz.de/10012945121
Cover Image
Rough stochastic elasticity of variance and option pricing
Cao, Jiling; Kim, Jeong-Hoon; Kim, See-Woo; Zhang, WenJun - In: Finance research letters 37 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012485014
Cover Image
Testing for a single-factor stochastic volatility in bivariate series
Chiba, Masaru; Kobayashi, Masahito - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 31-61
single common stochastic volatility factor and noidiosyncratic volatility factor. The test statistic is derived by …
Persistent link: https://www.econbiz.de/10011555751
Cover Image
Estimation and testing in a perturbed multivariate long memory framework
Less, Vivien; Sibbertsen, Philipp - 2022
We propose a semiparametric multivariate estimator and a multivariate score-type testing procedure under a perturbed multivariate fractional process. The estimator is based on the periodogram and uses a local Whittle criterion function which is generalised by an additional constant to capture...
Persistent link: https://www.econbiz.de/10014247836
Cover Image
Long Run Canonical Correlations : Estimation and Inference
Dovonon, Prosper - 2009
This paper proposes methods for both the consistent estimation of so-called long run canonical correlations (LRCCs) and also testing the null hypothesis that a subset of LRCCs are zero. Two test statistics are proposed and their limiting distribution is derived under the null hypothesis. It is...
Persistent link: https://www.econbiz.de/10013155084
Cover Image
Heteroskedasticity-and-autocorrelation-consistent bootstrapping
Davidson, Russell; Monticini, Andrea - 2014
. Nothing comparable appears to exist for handling serial correlation. Recently, there has been proposed something called the …
Persistent link: https://www.econbiz.de/10011774249