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Forni, Mario - 2014

We introduce imperfect information in stock prices determination. Agents receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices include a transitory "noise bubble" which can be responsible for boom and bust episodes unrelated to economic...

Persistent link: https://www.econbiz.de/10013043876

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use … negative bubbles in the short-, medium- and long-term stock markets of the G7 countries. While detecting major crashes and … of oil price uncertainty on the bubbles indicators. After controlling for the impacts of output growth, inflation, and …

Persistent link: https://www.econbiz.de/10015210403

Joint independent metropolis-hastings methods for nonlinear non-Gaussian state space models

Barra, Istvan; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2013

Persistent link: https://www.econbiz.de/10010191411

Volatility Puzzle

Shi, Shuping; Yu, Jun - 2022

context of ARFIMA(1,d,0) model by examining the finite sample properties of popular estimation methods, including semi …

Persistent link: https://www.econbiz.de/10013309000

Persistent and Rough Volatility

Liu, Xiaobin; Shi, Shuping; Yu, Jun - 2021

parameters. Simulation studies suggest that the SML method can accurately estimate both models. Our empirical analysis of several …

Persistent link: https://www.econbiz.de/10013251601

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, Istvan - 2016

provides a computationally more efficient alternative to several recently proposed algorithms. We present extensive simulation …

Persistent link: https://www.econbiz.de/10013005987

Improving the Accuracy of Bubble Date Estimators Under Time-Varying Volatility

Kurozumi, Eiji; Skrobotov, Anton - 2023

the residuals and then employ the WLS-based estimation of the bubble dates. We demonstrate by Monte Carlo simulations that …

Persistent link: https://www.econbiz.de/10014354236

Sign restrictions and statistical identification under volatility breaks : simulation based evidence and an empirical application to monetary policy analysis ; conference paper

Herwartz, Helmut; Plödt, Martin - 2014

Apart from a priori assumptions on instantaneous or long run effects of structural shocks, sign restrictions have become a prominent means for structural vector autoregressive (SVAR) analysis. Moreover, second order heterogeneity of systems of times series can be fruitfully exploited for...

Persistent link: https://www.econbiz.de/10010482469

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Persistent link: https://www.econbiz.de/10003770817

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

Smooth Transition GARCH and the Markov-Switching GARCH models. Simulation experiments reveal that information criteria and …

Persistent link: https://www.econbiz.de/10011297653