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Time series modelling with semiparametric factor dynamics

Borak, Szymon; Härdle, Wolfgang Karl; Mammen, Enno; … - 2007

High-dimensional regression problems which reveal dynamic behavior are typically analyzed by time propagation of a few number of factors. The inference on the whole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Persistent link: https://www.econbiz.de/10010274126

Dynamic semiparametric factor models in risk neutral density estimation

Giacomini, Enzo; Härdle, Wolfgang Karl; Krätschmer, Volker - 2008

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Persistent link: https://www.econbiz.de/10010274146

Shape invariant modelling pricing kernels and risk aversion

Grith, Maria; Härdle, Wolfgang Karl; Park, Juhyun - 2009

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies reported that pricing kernels exhibit a common pattern across different markets. Mostly visual inspection and occasionally numerically summarise are used to make comparison. With...

Persistent link: https://www.econbiz.de/10010274190

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter E.; Veredas, David - 2010

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10010274304

When did the 2001 recession really start?

Polzehl, Jörg; Spokoiny, Vladimir; Stărică, Cătălin - 2006

The paper develops a non-parametric, non-stationary framework for business-cycle dating based on an innovative statistical methodology known as Adaptive Weights Smoothing (AWS). The methodology is used both for the study of the individual macroeconomic time series relevant to the dating of the...

Persistent link: https://www.econbiz.de/10010276753

Large vector auto regressions

Song, Song; Bickel, Peter J. - 2011

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and … financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic … tuning parameters are chosen via a data driven 'rolling scheme' method to optimize the forecasting performance. A …

Persistent link: https://www.econbiz.de/10010281503

High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model

Song, Song; Härdle, Wolfgang Karl; Ritov, Ya'acov - 2010

(High dimensional) time series which reveal nonstationary and possibly periodic behavior occur frequently in many fields of science. In this article, we separate the modeling of high dimensional time series to time propagation of low dimensional time series and high dimensional time invariant...

Persistent link: https://www.econbiz.de/10010281515

Assessing the anchoring of inflation expectations

Strohsal, Till; Winkelmann, Lars - 2012

This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market...

Persistent link: https://www.econbiz.de/10010281520

Mean-variance cointegration and the expectations hypothesis

Strohsal, Till; Weber, Enzo - 2011

The present paper sheds further light on a well-known (alleged) violation of the expectations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads. We show that the EHT implies (i) that the nonstationarity stems from the holding premium, which is...

Persistent link: https://www.econbiz.de/10010281525

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...

Persistent link: https://www.econbiz.de/10010281562