Similar Search Results

Chapter 62 A Practitioner's Approach to Estimating Intertemporal Relationships Using Longitudinal Data: Lessons from Applications in Wage Dynamics

MaCurdy, Thomas - In: Handbook of econometrics : volume 6A, (pp. 4057-4167). 2007

This chapter presents a unified set of estimation methods for fitting a rich array of models describing dynamic … chapter is motivated by the principle that, whenever possible, estimation methods should rely on routines available in … sampling inherent in survey longitudinal data, (3) incorporation of predetermined variables in estimation, and (4 …

Persistent link: https://www.econbiz.de/10014024953

Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Flint, Emlyn James - 2017

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

Persistent link: https://www.econbiz.de/10012952837

Appropriate t-stat hurdles in large-scale testing

Zhu, Min - 2021

Large-scale inference has become increasingly popular in financial economics. I explore an empirical Bayes approach to large-scale multiple testing. The proposed approach bases its inference on the posterior probability that the null is true given the observed data. It provides a convenient way...

Persistent link: https://www.econbiz.de/10013222451

Dynamic Portfolio Management Strategies : A Framework for Historical Analysis

Seymour, Anthony - 2018

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...

Persistent link: https://www.econbiz.de/10012914668

Selected techniques of detecting structural breaks in financial volatility

Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 32-43

We investigate several promising algorithms, proposed in literature, devised to detect sudden changes (structural breaks) in the volatility of financial time series. Comparative study of three techniques: ICSS, NPCPM and Cheng's algorithm is carried out via numerical simulation in the case of...

Persistent link: https://www.econbiz.de/10011393264

A Discrete Time Series Model for High Frequency Financial Data

Mitchell, Heather Eunice - 2012

In this paper a flexible model for correlation in high frequency data is proposed, which maintains the data's discrete nature and captures features such as asymmetry and excess zeros. The model uses an a theoretical approach based on that of an ARIMA model. This model works with price changes...

Persistent link: https://www.econbiz.de/10013104300

Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

Shin, Minseok; Kim, Donggyu; Wang, Yazhen; Fan, Jianqing - 2021

estimation method for a high-dimensional VAR model. We apply the robust estimator to predicting large volatility matrices and … estimation and prediction methods. Using high-frequency trading data, we apply the proposed method to large volatility matrix …

Persistent link: https://www.econbiz.de/10013211439

Changing risk-return profiles

Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

Persistent link: https://www.econbiz.de/10011868395

Persistence in high frequency financial data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10013419363

Volatility Models for Stylized Facts of High-Frequency Financial Data

Kim, Donggyu; Shin, Minseok - 2022

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of the proposed volatility process has a realized GARCH...

Persistent link: https://www.econbiz.de/10013405987

1
2
3
4
5
6
7
8
9
10
Next
Last