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INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS
Sentana, Enrique; Calzolari, Giorgio; Fiorentini, Gabriele - Centro de Estudios Monetarios y Financieros (CEMFI) - 2004
We derive indirect estimators of multivariate conditionally heteroskedastic factor models in which the volatilities of the latent factors depend on their past values. Specifically, we calibrate the analytical score of a Kalman-filter approximation, taking into account the inequality constraints...
Persistent link: https://www.econbiz.de/10005827094
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Jump Robust Daily Covariance Estimation by Disentangling Variance and Correlation Components
Boudt, Kris - 2012
We propose a jump robust positive semidefinite rank-based estimator for the daily covariance matrix based on high-frequency intraday returns. It disentangles covariance estimation into variance and correlation components. This allows to estimate correlations over lower sampling frequencies, to...
Persistent link: https://www.econbiz.de/10013115577
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …
Persistent link: https://www.econbiz.de/10010331352
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - Frankfurt School of Finance and Management - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …
Persistent link: https://www.econbiz.de/10010985133
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Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität : ein Vergleich univariater und multivariater Konzepte
Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014
estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …
Persistent link: https://www.econbiz.de/10010237661
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Particle filters for continuous likelihood evaluation and maximisation
Malik, Sheheryar; Pitt, Michael K. - In: Journal of Econometrics 165 (2011) 2, pp. 190-209
stochastic volatility model, finding that the approach is efficient and effective. Applications to continuous time finance models …
Persistent link: https://www.econbiz.de/10010574072
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A Stochastic Volatility Model with Realized Measures for Option Pricing
Bormetti, Giacomo - 2019
Based on the fact that realized measures of volatility are affected by measurement errors, we introduce a new family of … discrete-time stochastic volatility models having two measurement equations relating both observed returns and realized … realized measures in inflating the latent volatility persistence - the crucial parameter in pricing Standard and Poor's 500 …
Persistent link: https://www.econbiz.de/10012903114
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Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae
Ignatieva, Katja - 2012
This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...
Persistent link: https://www.econbiz.de/10013098515
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Estimation of dynamic panel data models with stochastic volatility using particle filters
Xu, Wen - In: Econometrics : open access journal 4 (2016) 4, pp. 1-13
Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …
Persistent link: https://www.econbiz.de/10011650493
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MATLAB Applications of Trading Rules and GARCH with Wavelets Analysis
Giovanis, Eleftherios - 2009
In this paper we provide MATLAB routines for two major used trading rules, the moving average indicator and MACD oscillator as also the GARCH univariate regression with Monte Carlo simulations and wavelets decomposition, which is an update of an older algorithm
Persistent link: https://www.econbiz.de/10013153142