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realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …
Persistent link: https://www.econbiz.de/10014480607
realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation … and has more desirable asymptotic properties. We also derive a Quasi-maximum likelihood estimation and provide closed …
Persistent link: https://www.econbiz.de/10012429985
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...
Persistent link: https://www.econbiz.de/10011853171
Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...
Persistent link: https://www.econbiz.de/10011745369
realized correlations in the DCC-HEAVY model. The new model removes well known asymptotic bias in DCC-GARCH model estimation … and has more desirable asymptotic properties. We also derive a Quasi-maximum likelihood estimation and provide closed …
Persistent link: https://www.econbiz.de/10012009351
We propose an observation-driven dynamic common factor model for missing value imputation in high-dimensional panel data. The model exploits both serial and cross-sectional information in the data and can easily cope with time-variation in conditional means and variances, as well as with either...
Persistent link: https://www.econbiz.de/10015394879
This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...
Persistent link: https://www.econbiz.de/10012925879
based on two S&P 500 cash index out-of-sample forecasting periods, one of which covers exclusively the recent 2007 … realized volatility and the augmented GARCH models with the FHS or the EVT quantile estimation methods produce superior VaR …
Persistent link: https://www.econbiz.de/10013126884
augments the prediction problem by covariate forecasting models. In this paper, we present simple alternatives for multi …
Persistent link: https://www.econbiz.de/10008939079
occur. Two important statistical models for change point detection and prediction are the regime-switching and threshold … different regimes. In a threshold model, change is detected as soon as a split variable passes a threshold. In this paper, by … combining the two mentioned models, namely regime switching and threshold, an EWS for change point detection is designed. The …
Persistent link: https://www.econbiz.de/10015065127