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Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data

Grigoryeva, Lyudmila - 2017

This paper introduces a method based on the use of various linear and nonlinear state space models that uses non-synchronous data to extract global stochastic financial trends (GST). These models are specifically constructed to take advantage of the intraday arrival of closing information coming...

Persistent link: https://www.econbiz.de/10012971773

A Flexible State-Space Model with Application to Stochastic Volatility

Gourieroux, Christian - 2016

We introduce a general state-space (or latent factor) model for time series and panel data. The state process has a polynomial expansion based dynamics that can approximate any Markov dynamics arbitrarily well, and has a latent, endogenous switching regime interpretation. The resulting...

Persistent link: https://www.econbiz.de/10012978826

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, Istvan - 2016

We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear, non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...

Persistent link: https://www.econbiz.de/10013005987

Bootstrapping Non-Stationary Stochastic Volatility

Boswijk, H. Peter - 2019

financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such …

Persistent link: https://www.econbiz.de/10012858431

Stochastic Population Analysis : A Functional Data Approach

Fang, Lei - 2015

Based on the Lee-Carter (LC) model, the benchmark in population forecasting, a variety of extensions and modifications are proposed in this paper. We investigate one of the extensions, the Hyndman-Ullah (HU) method and apply it to Asian demographic data sets: China, Japan and Taiwan. It combines...

Persistent link: https://www.econbiz.de/10013019426

Monitoring Stationarity and Cointegration

Wagner, Martin - 2015

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the residuals of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious relationship....

Persistent link: https://www.econbiz.de/10013020157

CLT for Largest Eigenvalues and Unit Root Tests for High-Dimensional Nonstationary Time Series

Zhang, Bo - 2016

This paper proposes a new unit-root test for the case where a high-dimensional vector of nonstationary time series is considered. A new CLT is being established and studied both theoretically and numerically

Persistent link: https://www.econbiz.de/10012986601

A Construction of Continuous Time ARMA Models by Iterations of Ornstein-Uhlenbeck Processes

Arratia, Argimiro - 2018

We present a construction of a family of Continuous time ARMA processes based on p iterations of the linear operator that maps a Lévy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR(p) from an AR(1). We show that this family is in fact a...

Persistent link: https://www.econbiz.de/10012919017

Stochastic Regularization for the Mean-Variance Allocation Scheme

Zumbach, Gilles O. - 2018

Despite being based on sound principles, the original Markowitz portfolio allocation theory cannot produce sound … allocations, and restrictions or modifications need to be imposed from outside the theory in order to obtain meaningful portfolios … original theory are introduced. First, the strategic and tactical time horizons are separated. A base long term allocation is …

Persistent link: https://www.econbiz.de/10012929317

Modeling Inequality and Mobility with Stochastic Processes

Fischer, Thomas - 2018

This paper presents tractable two parameter stochastic processes of the drift-diffusion class in order to model economic processes with a focus on income. Starting from the resulting closed-form, cross-sectional distributions, easy-to-interpret expressions for mobility and inequality (including...

Persistent link: https://www.econbiz.de/10012931525