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Threshold stochastic conditional duration model for financial transaction data

Men, Zhongxian; Kolkiewicz, Adam W.; Wirjanto, Tony S. - In: Journal of risk and financial management : JRFM 12 (2019) 2/88, pp. 1-21

self-excited. A novel Markov-Chain Monte Carlo method (MCMC) is developed for parameter estimation of the model. For model … the proposed TSCD model and MCMC method work well in terms of parameter estimation and duration forecasting. Lastly, the …

Persistent link: https://www.econbiz.de/10012022077

On the macroeconomic effects of reinvestments in asset purchase programmes

Gerke, Rafael; Kienzler, Daniel; Scheer, Alexander - 2022

A feature of recent monetary policy asset purchase programmes is the reinvestment policy: the central bank announces to keep the overall volume of assets on its balance sheet constant for some time. In this paper, we systematically assess the macroeconomic effects of such reinvestment policies....

Persistent link: https://www.econbiz.de/10013460153

Cross-sector comovements and policy impact in the COVID-19 stock market : a dynamic factor approach

Yang, Joy D. Xiuyao - In: Global finance journal 56 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014478952

On the significance of quality-of-capital news shocks

Herrera, Luis; Vázquez, Jesús - In: Economic modelling 124 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014463173

Stochastic Volatility, Long Run Risks, and Aggregate Stock Market Fluctuations

Avdjiev, Stefan - 2013

What are the main drivers of fluctuations in the aggregate US stock market? In this paper, we attempt to resolve the long-lasting debate surrounding this question by designing and solving a consumption-based asset pricing model which incorporates stochastic volatility, long-run risks in...

Persistent link: https://www.econbiz.de/10013094186