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Change‐point detection in the conditional correlation structure of multivariate volatility models

Barassi, Marco R.; Horváth, Lajos; Zhao, Yuqian - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 340-349

Persistent link: https://www.econbiz.de/10012262479

Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors

Nakakita, Makoto; Nakatsuma, Teruo - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-29

Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

Persistent link: https://www.econbiz.de/10012520275

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Jump and variance risk premia in the S&P 500

Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83

Persistent link: https://www.econbiz.de/10011635040

Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations

Avdjiev, Stefan - 2013

incorporates stochastic volatility, long-run risks in consumption and dividends, and Epstein-Zin preferences. Utilizing Bayesian …

Persistent link: https://www.econbiz.de/10013094186

Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach

Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16

In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....

Persistent link: https://www.econbiz.de/10014581582

Macroeconomic determinants of credit risk : recent evidence from a cross country study

Ali, Asghar; Daly, Kevin James - In: International review of financial analysis 19 (2010) 3, pp. 165-171

Persistent link: https://www.econbiz.de/10008992306

Re-examining risk premiums in the Fama-French model : the role of investor sentiment

Wu, Po-Chin; Liu, Shiao-Yen; Chen, Che-Ying - In: The North American journal of economics and finance : a … 36 (2016), pp. 154-171

Persistent link: https://www.econbiz.de/10011672644

Comparing Australian and US Corporate Default Risk Using Quantile Regression

Allen, David E. - 2012

comparison to the USA. Quantile regression allows modelling of the extreme quantiles of a distribution which allows measurement … both Australia and the US, and shows how these variances can assist banks and regulators in calculating capital buffers to …

Persistent link: https://www.econbiz.de/10013113443

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of … the observed time series. We develop a simulated maximum likelihood estimation method based on importance sampling and … increased during the 2008 financial crisis while it has recently returned to its pre-crisis level. The extracted volatility …

Persistent link: https://www.econbiz.de/10011809984