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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

postulate functional relations between macroeconomic or financial variables and their conditional second moments. We illustrate …

Persistent link: https://www.econbiz.de/10011422182

Frequency-Dependent Higher Moment Risks

Barunik, Jozef; Kurka, Josef - 2021

-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the … priced by investors mainly in the long-run even if controlled by market moments and other factors, while skewness is mostly … short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term …

Persistent link: https://www.econbiz.de/10012695529

Let's get LADE: Robust estimation of semiparametric multiplicative volatility models

Koo, Bonsoo; Linton, Oliver - 2013

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH (1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run...

Persistent link: https://www.econbiz.de/10010318677

Random coefficients in static games of complete information

Dunker, Fabian; Hoderlein, Stefan; Kaido, Hiroaki - 2013

Individual players in a simultaneous equation binary choice model act differently in different environments in ways that are frequently not captured by observables and a simple additive random error. This paper proposes a random coefficient specification to capture this type of heterogeneity in...

Persistent link: https://www.econbiz.de/10010318707

Nonparametric Regression on Latent Covariates with an Application toSemiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - Alfred-Weber-Institut für Sozial- und …; … - 2008

postulate functionalrelations between macroeconomic or financial variables and their conditional second moments. Weillustrate …

Persistent link: https://www.econbiz.de/10009262199

A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10005861035