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Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

Estimation of realized asymmetric stochastic volatility models using Kalman filter

Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t …

Persistent link: https://www.econbiz.de/10014425668

Detection of mispricing in the Black-Scholes PDE using the derivative-free nonlinear Kalman Filter

Rigatos, G.; Zervos, N. - In: Computational economics 50 (2017) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10011762181

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

A practical guide to forecasting : financial markets volatility

Poon, Ser-Huang - 2005

Persistent link: https://www.econbiz.de/10013489917

Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex

Rathgeber, Andreas - In: Kredit und Kapital 40 (2007) 3, pp. 451-484

Persistent link: https://www.econbiz.de/10003564452

Modelling financial time series

Taylor, Stephen - 2007 - 2. edition

Persistent link: https://www.econbiz.de/10003553502

Modelling financial time series with SEMIFAR-GARCH model

Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...

Persistent link: https://www.econbiz.de/10003876744

The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield

Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224

Persistent link: https://www.econbiz.de/10009301130

Realized Laplace transforms for estimation of jump diffusive volatility models

Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-381

Persistent link: https://www.econbiz.de/10009301899

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