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SV mixture : classification using EM algorithm
Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013
with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …
Persistent link: https://www.econbiz.de/10009755511
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Particle filters for Markov switching stochastic volatility models
Yun, Bao; Chiarella, Carl; Kang, Boda - 2012
Persistent link: https://www.econbiz.de/10009564477
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Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm
Bağcı, Mahmut; Soylu, Pınar Kaya - In: Financial innovation : FIN 10 (2024), pp. 1-28
We propose a high-frequency rebalancing algorithm (HFRA) and compare its performance with periodic rebalancing (PR) and …
Persistent link: https://www.econbiz.de/10014541693
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On forecasting realized volatility for bitcoin based on deep learning PSO-GRU model
Tang, Xiaolong; Song, Yuping; Jiao, Xingrui; Sun, Yankun - In: Computational economics 63 (2024) 5, pp. 2011-2033
Persistent link: https://www.econbiz.de/10014550858
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Decomposing densities of stock indexes returns
Sun, Yiguo (contributor) - 2004
Persistent link: https://www.econbiz.de/10003357872
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011313230
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Modelling volatility by variance decomposition
Amado, Cristina; Teräsvirta, Timo - In: Journal of econometrics 175 (2013) 2, pp. 142-153
Persistent link: https://www.econbiz.de/10009764416
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Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212
Persistent link: https://www.econbiz.de/10010233600