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Clustering financial time series : new insights from an extended hidden Markov model

Dias, José G.; Vermunt, Jeroen K.; Ramos, Sofia B. - In: European journal of operational research : EJOR 243 (2015) 3, pp. 852-864

Persistent link: https://www.econbiz.de/10010513848

Predicting bid-ask spreads using long-memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of forecasting 32 (2013) 8, pp. 724-742

Persistent link: https://www.econbiz.de/10010344462

Nonparametric test for a constant beta over a fixed time interval

Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014

We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...

Persistent link: https://www.econbiz.de/10010253467

Nonlinear dynamics of realized minimum-variance hedge ratios : a two-regime self-exciting threshold autoregressive approach

Lai, Yu-Sheng - In: The empirical economics letters : a monthly … 14 (2015) 9, pp. 899-905

Persistent link: https://www.econbiz.de/10011459137

Realized Wishart-GARCH : a score-driven multi-Asset volatility model

Hansen, Peter Reinhard; Janus, Paweł; Koopman, Siem Jan - 2016

the variance matrix. Monte Carlo evidence for parameter estimation based on different small sample sizes is provided. We …

Persistent link: https://www.econbiz.de/10011520881

Nonparametric change-point analysis of volatility

Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of … discriminate different smoothness classes of the underlying stochastic volatility process. In a high-frequency framework we prove … extremely mild smoothness assumptions on the stochastic volatility we thereby derive a consistent test for volatility jumps. A …

Persistent link: https://www.econbiz.de/10010477582