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This paper reviews basic notions of return variation in the context of a continuous-time arbitrage-free asset pricing model and discusses some of their applications. We first define return variation in the infeasible continuous-sampling case. Then we introduce realized measures obtained from...
Persistent link: https://www.econbiz.de/10014202215
This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, the authors first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models....
Persistent link: https://www.econbiz.de/10014202226
market risk by using information from a range of quantiles in the lower tail of returns …
Persistent link: https://www.econbiz.de/10014215702
Time-varying coefficient models have been widely used to model changing relationships of economic and financial variables. The existing literature usually specifies the time-varying coefficient vector as a stochastic stationary process, a deterministic function of time, or a unit root process....
Persistent link: https://www.econbiz.de/10014077865
We examine the asymptotic efficiency of OLS and IV estimators in a simple dynamic structural model with a constant and two explanatory variables: the lagged dependent variable and an explanatory variable, which is also autoregressive and may include lagged or instantaneous feedbacks from the...
Persistent link: https://www.econbiz.de/10014029258
In this paper we propose a new battery of test statistics for dynamic specification and density functional form in a wide range of multivariate time series models including linear and non-linear VAR specifications with multivariate GARCH disturbances. The tests are applied to the vector of...
Persistent link: https://www.econbiz.de/10013118196
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10013123188
We consider the nonstationary fractional model Delta^d Xt = epsilon t with epsilon t i.i.d.(0;sigma^2) and d 1/2. We derive an analytical expression for the main term of the asymptotic bias of the maximum likelihood estimator of d conditional on initial values, and we discuss the role of the...
Persistent link: https://www.econbiz.de/10013097996
past. The theory for testing the specification of the conditional distribution of X<sub>i</sub> in such parametric models …
Persistent link: https://www.econbiz.de/10012924783
Persistent link: https://www.econbiz.de/10014391717