Showing 1 - 10 of 185
Persistent link: https://www.econbiz.de/10010256867
Persistent link: https://www.econbiz.de/10013532430
We develop a score-driven time-varying parameter model where no particular parametric error distribution needs to be specified. The proposed method relies on a versatile spline-based density, which produces a score function that follows a natural cubic spline. This flexible approach nests the...
Persistent link: https://www.econbiz.de/10015198647
Persistent link: https://www.econbiz.de/10011954453
Persistent link: https://www.econbiz.de/10011650223
We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...
Persistent link: https://www.econbiz.de/10012023360
Persistent link: https://www.econbiz.de/10014281687
Persistent link: https://www.econbiz.de/10014334888
This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...
Persistent link: https://www.econbiz.de/10015408198
When alternatives are compared using an estimated criterion function, this may introduce a discrepancy between the true and the estimated criterion. In this paper, we consider a situation where a preordering (ranking) of stochastic sequences is defined from expected loss/gain, using a parametric...
Persistent link: https://www.econbiz.de/10010318932