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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Modeling and forecasting persistent financial durations
Zikes, Filip; Baruník, Jozef; Shenai, Nikhil - 2015
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility … model of Calvet and Fisher (2004) to the duration setting. Although the MSMD process is exponential ß-mixing as we show in … feature of durations generated by the MSMD process propagates to counts and realized volatility. We employ a quasi …
Persistent link: https://www.econbiz.de/10010499581
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On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
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Genetic learning as an explanation of stylized facts of foreign exchange markets
Lux, Thomas; Schornstein, Sascha - 2002
(unit roots in levels together with fat tails in returns and volatility clustering). Our time series analysis of simulated …
Persistent link: https://www.econbiz.de/10011431839
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Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets
Lux, Thomas - 2016
Persistent link: https://www.econbiz.de/10012991383
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Why does return predictability concentrate in bad times?
Cujean, Julien; Hasler, Michael - 2017
We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...
Persistent link: https://www.econbiz.de/10011721618
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …
Persistent link: https://www.econbiz.de/10010233639
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Structural vector autoregressions checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …
Persistent link: https://www.econbiz.de/10010233991
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2014
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …) analysis. Such restrictions are typically just-identifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …
Persistent link: https://www.econbiz.de/10010249640
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Structural vector autoregressions : checking identifying long-run restrictions via heteroskedasticity
Lütkepohl, Helmut; Velinov, Anton - 2016
mechanism and multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. Using changes in volatility …) analysis. Such restrictions are typically justidentifying but can be checked by utilizing changes in volatility. This paper … reviews and contrasts the volatility models that have been used for this purpose. Three main approaches have been used …
Persistent link: https://www.econbiz.de/10011878239