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This study reflects on the inconsistency of the fixed-design residual bootstrap procedure for GARCH models under dependent innovations. We introduce a novel recursive-design residual block bootstrap procedure to accurately quantify the uncertainty around parameter estimates and volatility...
Persistent link: https://www.econbiz.de/10014457811
Persistent link: https://www.econbiz.de/10003489793
We consider a multi-asset discrete-time model of a financial market with proportional transaction costs as described by Schachermayer [7]. In this model, the set of all self-financing trading strategies contains for example trading strategies which consist of buying an asset and selling it at...
Persistent link: https://www.econbiz.de/10014621337
We present two general results that can be used to obtain asymptotic properties for statistical functionals based on linear long-memory sequences. As examples for the first one we consider L- and V-statistics, in particular tail-dependent L-statistics as well as V-statistics with unbounded...
Persistent link: https://www.econbiz.de/10011065017
This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest multivariate GARCH model, namely, the multivariate ARCH(1) model of the Baba, Engle, Kraft, and Kroner form, under weak...
Persistent link: https://www.econbiz.de/10010932059
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The paper proposes a new approach to the mean–variance-hedging problem under transaction costs. This approach is based on the idea of dividing the gain functional into two parts. One part representing the gains resulting from a pure buying strategy, and the other part representing the gains...
Persistent link: https://www.econbiz.de/10010999679
Persistent link: https://www.econbiz.de/10005760231
For order statistics Xi,n,Xj,n,Xk,n with 1[less-than-or-equals, slant]i<j<k[less-than-or-equals, slant]n, and an independent beta distributed random variable C the distributional equation is established for uniform distributions as well as seen to be characteristic.
Persistent link: https://www.econbiz.de/10005224005
This paper questions whether it is possible to derive consistency and asymptotic normality of the Gaussian quasi-maximum likelihood estimator (QMLE) for possibly the simplest VEC-GARCH model, namely the multivariate ARCH(1) model of the BEKK form, under weak moment conditions similar to the...
Persistent link: https://www.econbiz.de/10010533695