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Functional data objects that are derived from high-frequency financial data often exhibit volatility clustering characteristic of conditionally heteroscedastic time series. Versions of functional generalized autoregressive conditionally heteroscedastic (FGARCH) models have recently been proposed...
Persistent link: https://www.econbiz.de/10015263636
Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...
Persistent link: https://www.econbiz.de/10015251400
Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...
Persistent link: https://www.econbiz.de/10015252494
Abstract Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and solutions as well as words of warning concerning their implementation are provided. Furthermore, both conceptual and computational improvements to the Rearrangement...
Persistent link: https://www.econbiz.de/10014621247
Persistent link: https://www.econbiz.de/10012283131
Building on recent advances in the theory of the optimal timing of investment under uncertainty, this paper proposes a stylized theoretical model to study an individual's optimal migration strategy. It shows that, as a result of following the optimal strategy, the individual may choose to delay...
Persistent link: https://www.econbiz.de/10005543334
Using Canadian data, the consumption-based asset pricing model is studied, defined in terms of nondurable and durable goods consumption. A two-stage estimation procedure is used, which takes account of the presence of common stochastic trends in the forcing processes. This method yields more...
Persistent link: https://www.econbiz.de/10005475455
Persistent link: https://www.econbiz.de/10005382254
Persistent link: https://www.econbiz.de/10006805328
This paper tests the prediction of the Permanent Income Hypothesis (PIH) that news about future income induce a revision in consumption equal to the revision in permanent income. We use time-series data from 48 contiguous US states to perform the test. The empirical results provide some support...
Persistent link: https://www.econbiz.de/10005818068