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Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2013

I discuss models which allow the local level model, which rationalised exponentially weighted moving averages, to have a time-varying signal/noise ratio. I call this a martingale component model. This makes the rate of discounting of data local. I show how to handle such models effectively using...

Persistent link: https://www.econbiz.de/10010823426

Estimation of stochastic volatility models by nonparametric filtering

Kanaya, Shin; Kristensen, Dennis - 2015

estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

Persistent link: https://www.econbiz.de/10011445712

Estimating a semiparametric asymmetric stochastic volatility model with a dirichlet process mixture

Jensen, Mark J.; Maheu, John M. - 2012

In this paper, we extend the parametric, asymmetric, stochastic volatility model (ASV), where returns are correlated with volatility, by flexibly modeling the bivariate distribution of the return and volatility innovations nonparametrically. Its novelty is in modeling the joint, conditional,...

Persistent link: https://www.econbiz.de/10010292350

Estimation of stochastic volatility models by nonparametric filtering

Kanaya, Shin; Kristensen, Dennis - 2015

estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …

Persistent link: https://www.econbiz.de/10010487528

Simple factor realized stochastic volatility models

Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110

Persistent link: https://www.econbiz.de/10014288373

Aggregations and Marginalization of GARCH and Stochastic Volatility Models

MEDDAHI, Nour; RENAULT, Éric - Département de Sciences Économiques, Université de … - 1998

spirit of GARCH (p,p) and GARCH in mean) and to derive conditional moment restrictions well suited for statistical inference …

Persistent link: https://www.econbiz.de/10005353319

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics 4 (2016) 3, pp. 1-31

noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined … parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper …

Persistent link: https://www.econbiz.de/10011755337

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31

Persistent link: https://www.econbiz.de/10011506497

Long-Run Wavelet-Based Correlation for Financial Time Series

Conlon, Thomas - 2018

The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...

Persistent link: https://www.econbiz.de/10012917953

Understanding Jumps in High Frequency Digital Asset Markets

Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - 2021

While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …

Persistent link: https://www.econbiz.de/10013323741