Showing 111 - 120 of 133
Several authors have postulated econometric models for exchange rates restricted to lie within known target zones. However, it is not uncommon to observe exchange rate data with known limits that are not fully 'credible'; that is, where some of the observations fall outside the stated range. An...
Persistent link: https://www.econbiz.de/10005102345
A Kalman filter, suitable for application to a stationary or a non-stationary time series, is proposed. It works on time series with missing values. It can be used on seasonal time series where the associated state space model may not satisfy the traditional observability condition. A new...
Persistent link: https://www.econbiz.de/10005581117
A perceived increase in correlation during turbulent market conditions implies a reduction in the benefits arising from portfolio diversification. Unfortunately, it is exactly then that these benefits are most needed. To determine whether diversification truly breaks down, we investigate the...
Persistent link: https://www.econbiz.de/10005581139
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a Markov Chain...
Persistent link: https://www.econbiz.de/10005644467
Several authors have postulated econometric models for exchange rates restricted to lie within known target zones. However, it is not uncommon to observe exchange rate data with known limits that are not fully 'credible'; that is, where some of the observations fall outside the stated range. An...
Persistent link: https://www.econbiz.de/10005699566
This paper develops a new non-linear model to analyse the business cycle by exploiting the relationship between the asymmetrical behaviour of the cycle and leading indicators. The model proposed is an innovations form of the structural model underlying simple exponential smoothing that is...
Persistent link: https://www.econbiz.de/10005149035
A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling...
Persistent link: https://www.econbiz.de/10005149083
In this paper Bayesian methods are applied to a stochastic volatility model using both the prices of the asset and the prices of options written on the asset. Posterior densities for all model parameters, latent volatilities and the market price of volatility risk are produced via a hybrid...
Persistent link: https://www.econbiz.de/10005149095
Increasing correlation during turbulent market conditions implies a reduction in portfolio diversification benefits. We investigate the robustness of recent empirical results that indicate a breakdown in the correlation structure by deriving theoretical truncated and exceedance correlations...
Persistent link: https://www.econbiz.de/10005152391
A Bayesian approach to option pricing is presented in which posterior inference about the underlying returns process is conducted implicitly via observed option prices. A range of models allowing for conditional leptokurtosis, skewness and time-varying volatility in returns are considered, with...
Persistent link: https://www.econbiz.de/10005161534