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consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …
Persistent link: https://www.econbiz.de/10010290980
Persistent link: https://www.econbiz.de/10010257372
consistency of the regression parameters and conditional error densities are provided. In experiments, the proposed method …
Persistent link: https://www.econbiz.de/10010543598
achieve posterior consistency of the regression parameters and conditional error densities are provided. In experiments, the …
Persistent link: https://www.econbiz.de/10010730143
Persistent link: https://www.econbiz.de/10012119015
The paper presents and tests Dynamic Value at Risk (VaR) estimation procedures for equity index returns. Volatility clustering and leptokurtosis are well-documented characteristics of such time series. An ARMA (1, 1)-GARCH (1, 1) ap- proach models the inherent autocorrelation and dynamic...
Persistent link: https://www.econbiz.de/10011259375
The paper studies a factor GARCH model and develops test procedures which can be used to test the number of factors needed to model the conditional heteroskedasticity in the considered time series vector. Assuming normally distributed errors the parameters of the model can be straightforwardly...
Persistent link: https://www.econbiz.de/10008534235
We consider the problems of derivative pricing and inference when the stochastic discount factor has an exponential-affine form and the geometric return of the underlying asset has a dynamics characterized by a mixture of conditionally Normal processes. We consider both the static case in which...
Persistent link: https://www.econbiz.de/10004998849
In two recent papers, Granger and Ding (1995a, b) considered long return series that are first differences of logarithmed price series or price indices. They established a set of temporal and distributional properties for such series and suggested that the returns are well characterized by the...
Persistent link: https://www.econbiz.de/10005649155
To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the quadratic form of the Gaussian state variables. The QGTM is among the most attractive candidate tools for analyzing yield curves for countries with low interest rates. However,...
Persistent link: https://www.econbiz.de/10010819391