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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Institute - 2010
parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus …
Persistent link: https://www.econbiz.de/10008838647
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Worldwide equity Risk Prediction
Ardia, David; Hoogerheide, Lennart F. - Centre Interuniversitaire sur le Risque, les Politiques … - 2013
Various GARCH models are applied to daily returns of more than 1200 constituents of major stock indices worldwide. The … conclusions. First, an asymmetric GARCH specification is essential when forecasting the 95% value-at-risk. Second, for both the 95 …
Persistent link: https://www.econbiz.de/10010660037
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REGIME SWITCHING GARCH MODELS
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Economics Department, Ben Gurion University of the Negev - 2006
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from … one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past …
Persistent link: https://www.econbiz.de/10011272240
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A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market
Graflund, Andreas - 2000
In this paper we use a Bayesian approach to test for mean reversion in the Swedish stock market on monthly data 1918-1998. By simply account for the heteroscedasticty of the data with a two state hidden Markov model of normal distributions and taking estimation bias into account via Gibbs...
Persistent link: https://www.econbiz.de/10013208407
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Are the Nordic Stock Markets Mean Reverting?
Graflund, Andreas - 2001
In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no...
Persistent link: https://www.econbiz.de/10013208422
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Are the Nordic Stock Markets Mean Reverting?
Graflund, Andreas - Nationalekonomiska Institutionen, Ekonomihögskolan - 2001
In this paper we test for mean reversion in the Nordic stock markets using monthly nominal data 1947-1998. By simply account for the heteroscedasticity of the data with a regime-switching model of normal distributions and taking estimation bias into account via a Bayesian approach we can find no...
Persistent link: https://www.econbiz.de/10005645120
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A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market
Graflund, Andreas - Nationalekonomiska Institutionen, Ekonomihögskolan - 2000
In this paper we use a Bayesian approach to test for mean reversion in the Swedish stock market on monthly data 1918-1998. By simply account for the heteroscedasticty of the data with a two state hidden Markov model of normal distributions and taking estimation bias into account via Gibbs...
Persistent link: https://www.econbiz.de/10005645174
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Bayesian Inference of Asymmetric Stochastic Conditional Duration Models
Men, Zhongxian - 2015
This paper extends a stochastic conditional duration (SCD) model for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process with the aim of improving the statistical fit of the model. Suitable...
Persistent link: https://www.econbiz.de/10013035789
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A Bayesian Understanding of Information Uncertainty and the Cost of Capital
Johnstone, David - 2013
The term "information risk" or "information uncertainty" is defined as the risk of a misleading signal. This risk is understood Bayesianly in terms of the likelihood function f(S|φ). In Bayesian method, f(S|φ) captures the quality of signal S with respect to parameter φ. The Bayesian position...
Persistent link: https://www.econbiz.de/10013085394
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News Driven Business Cycles and Data on Asset Prices in Estimated DSGE Models
Avdjiev, Stefan - 2014
The existing literature on estimated structural News Driven Business Cycle (NDBC) models has focused almost exclusively on macroeconomic data and has largely ignored asset prices. In this paper, we present evidence that including data on asset prices in the estimation of a structural NDBC model...
Persistent link: https://www.econbiz.de/10013067113