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Stationarity and Ergodicity Regions for Score Driven Dynamic Correlation Models

Blasques, Francisco - 2014

We describe stationarity and ergodicity (SE) regions for a recently proposed class of score driven dynamic correlation … by reparameterizing the model or by rescaling the score steps in the transition equation for the correlation parameter …. This makes the result markedly different from the volatility case. Observationally equivalent decompositions of the …

Persistent link: https://www.econbiz.de/10013063455

An estimator for the quadratic covariation of asynchronously observed Itô processes with noise : asymptotic distribution theory

Bibinger, Markus - 2011

The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...

Persistent link: https://www.econbiz.de/10009151649

Dynamic partial correlation models

D'Innocenzo, Enzo; Lucas, André - 2022

We introduce a new, easily scalable model for dynamic conditional correlation matrices based on a recursion of dynamic … bivariate partial correlation models. By exploiting the model's recursive structure and the theory of perturbed stochastic …

Persistent link: https://www.econbiz.de/10013375366

Restatement of the I-O coefficient stability problem

Dobrescu, Emilian - In: Journal of economic structures : JES; the official … 2 (2013), pp. 1-67

The capacity of input-output tables to reflect the structural peculiarities of an economy and to forecast, on this basis, its evolution, depends essentially on the characteristics of the matrix A—matrix of I-O (or technical) coefficients. However, the temporal behaviour of these coefficients...

Persistent link: https://www.econbiz.de/10010186053

Empirical model for forecasting exchange rate dynamics : the GO-GARCH approach

Isenah, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 7 (2016) 1, pp. 179-208

The study aimed at determining a set of superior generalized orthogonal-GARCH (GO-GARCH) models for forecasting time-varying conditional correlations and variances of five foreign exchange rates vis-à-vis the Nigerian Naira. Daily data covering the period 02/01/2009 to 19/03/2015 was used, and...

Persistent link: https://www.econbiz.de/10011534717

A multivariate pure-jump model with multi-factorial dependence structure

Marfè, Roberto - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-30

Persistent link: https://www.econbiz.de/10009624464

Operational loss with correlated frequency and severity : an analytical approach

Stahl, Daniel H. - In: The journal of operational risk 11 (2016) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10011600204

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10003828645

Testing for Jumps in Near Non-Stationary Diffusion Processes

Laurent, Sébastien - 2017

In this paper, we show that despite the fact that Ornstein-Uhlenbeck (OU) processes fall within the general specification of asset price dynamics studied by Lee and Mykland (2008), the finite sample performance of their two tests for additive jumps is far from being satisfactory when the process...

Persistent link: https://www.econbiz.de/10012945760

Detecting serial dependence in tail events

Diks, Cees G. H. - 2002

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

Persistent link: https://www.econbiz.de/10011327543