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Estimation of correlations in portfolio credit risk models based on noisy security prices

Boudreault, Mathieu; Gauthier, Geneviève; Thomassin, Tommy - In: Journal of economic dynamics & control 61 (2015), pp. 334-349

Persistent link: https://www.econbiz.de/10011589542

A Monte Carlo comparison of estimating the number of dynamic factors

Zhao, Zhao; Cui, Guowei; Wang, Shaoping - In: Empirical economics : a journal of the Institute for … 53 (2017) 3, pp. 1217-1241

Persistent link: https://www.econbiz.de/10011893009

Multi-scale tests for serial correlation

Gençay, Ramazan; Signori, Daniele - In: Journal of econometrics 184 (2015) 1, pp. 62-80

Persistent link: https://www.econbiz.de/10011326817

Confidence sets for asset correlations in portfolio credit risk

Castro Iragorri, Carlos Alberto - In: Revista de economía del Rosario 15 (2012) 1, pp. 19-58

Persistent link: https://www.econbiz.de/10010208712

Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time

Fernandez-Macho, Javier - 2020

regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

Persistent link: https://www.econbiz.de/10012854086

Modeling Realized Covariance Measures with Heterogeneous Liquidity : A Generalized Matrix-Variate Wishart State-Space Model

Gribisch, Bastian - 2020

We propose to generalize the Wishart state-space model for realized covariance matrices of asset returns in order to capture complex measurement error structures induced by heterogeneous liquidity across assets. Our model assumes that the latent covariance matrix of the assets is observed...

Persistent link: https://www.econbiz.de/10012825380

From Large to Vast : Composite Forecasting of Vast-Dimensional Realized Covariance Matrices Using Factor State-Space Models

Hartkopf, Jan P. - 2021

We propose a dynamic factor state-space model for the prediction of high-dimensional realized covariance matrices of asset returns. Using a block LDL decomposition of the joint covariance matrix of assets and factors, we express the realized covariance matrix of the individual assets similar to...

Persistent link: https://www.econbiz.de/10013246801

A Simple Estimator for the Correlated Random Coefficient Model

De Blander, Rembert - 2012

This note presents an estimator for the linear correlated random coefficient model which is an extension of Garen's (1984) selectivity bias method. The choice between the proposed estimator and IV estimation reflects a trade-off between efficiency and first-stage reduced form robustness

Persistent link: https://www.econbiz.de/10013098520

Recovering cointegration via wavelets in the presence of non-linear patterns

Martínez Compains, Jorge; Rodríguez Carreño, Ignacio; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 255-265

Persistent link: https://www.econbiz.de/10012806528

Semiparametric estimation of the canonical permanent‐transitory model of earnings dynamics

Hu, Yingyao; Moffitt, Robert A.; Sasaki, Yuya - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1495-1536

This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher‐order...

Persistent link: https://www.econbiz.de/10012202860