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date (newest first)
date (oldest first)
1
Noise
Bubbles
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
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
Saved in:
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