Showing 141 - 150 of 1,168
Persistent link: https://www.econbiz.de/10010221303
Persistent link: https://www.econbiz.de/10010221305
We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price changes. We account for the discrete nature of the...
Persistent link: https://www.econbiz.de/10011456723
We adopt an unobserved components time series model to extract financial cycles for the United States and the five largest euro area countries over the period 1970 to 2014. We find that credit, the credit-to-GDP ratio and house prices have medium-term cycles which share a few common statistical...
Persistent link: https://www.econbiz.de/10011456728
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...
Persistent link: https://www.econbiz.de/10011979983
Persistent link: https://www.econbiz.de/10011646939
Persistent link: https://www.econbiz.de/10011987788
Persistent link: https://www.econbiz.de/10011618230
Persistent link: https://www.econbiz.de/10011622152
We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the highdimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors. The...
Persistent link: https://www.econbiz.de/10011562907