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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10011373822
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Volatility and GMM : Monte Carlo studies and empirical estimations
Nagel, Hartmut; Schöbel, Rainer - In: Statistical papers 40 (1999) 3, pp. 297-321
Persistent link: https://www.econbiz.de/10001401125
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Nonparametric test for volatility in clustered multiple time series
Barrios, Erniel B.; Redondo, Paolo Victor T. - In: Computational economics 63 (2024) 2, pp. 861-876
Persistent link: https://www.econbiz.de/10014475068
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Asymmetry and long memory in volatility modelling
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - 2010 - Rev.
Persistent link: https://www.econbiz.de/10008695596
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Portfolio optimization using cellwise robust association measures and clustering methods with application to highly volatile markets
Menvouta, Emmanuel Jordy; Serneels, Sven; Verdonck, Tim - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-13
This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness. Using cellwise robust association measures, the minCluster portfolio is able to retrieve the underlying...
Persistent link: https://www.econbiz.de/10014514018
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Numerically accelerated importance sampling for nonlinear non-Gaussian state-space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 114-127
Persistent link: https://www.econbiz.de/10011389921
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Multi-level Monte Carlo simulations with importance sampling
Stilger, Przemyslaw Stan; Poon, Ser-Huang - 2013
We present an application of importance sampling in a Monte Carlo simulation for multi-asset options and in a Multi …-Level Monte Carlo simulation. We demonstrate that applying importance sampling only on the first level of the Multi-Level Monte …. Moreover, we combine it with the importance sampling to reduce the variance of the Greeks. Finally, we study the impact of the …
Persistent link: https://www.econbiz.de/10010206934
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Particle efficient importance sampling
Scharth, Marcel; Kohn, Robert - In: Journal of econometrics 190 (2016) 1, pp. 133-147
Persistent link: https://www.econbiz.de/10011591626
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Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der; Teng, Huei-Wen; Wang, Ren-Her - In: Computational economics 51 (2018) 4, pp. 973-990
Persistent link: https://www.econbiz.de/10011972209