Search Results - subject:"Observation driven models"

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - 2011

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

Persistent link: https://www.econbiz.de/10010326055

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2011

Persistent link: https://www.econbiz.de/10011257612

Modeling dynamic volatilities and correlations under skewness and fat tails

Zhang, Xin; Creal, Drew; Koopman, Siem Jan; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10011386468

The conditional autoregressive wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - 2010

We propose a Conditional Autoregressive Wishart (CAW) model for the analysis of realized covariance matrices of asset returns. Our model assumes a generalized linear autoregressive moving average structure for the scale matrix of the Wishart distribution allowing to accommodate for complex...

Persistent link: https://www.econbiz.de/10010300501

The conditional autoregressive wishart model for multivariate stock market volatility

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - Institut für Volkswirtschaftslehre, … - 2010

Persistent link: https://www.econbiz.de/10008543002

Interventions in ingarch processes

Fokianos, Konstantions; Fried, Roland - 2009

. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models …

Persistent link: https://www.econbiz.de/10010316418

Poisson Autoregression

Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2009

, non- canonical link function, observation driven models, Poisson regression, `-irreducibility. JEL classification: C51, C … (1) is composed by the unobserved process ‚t, the linear model still belongs to the class of observation driven models as … observed process Yt, after repeated substitution. Observation driven models for time series of counts have been studied by …

Persistent link: https://www.econbiz.de/10005198856

Interventions in ingarch processes

Fokianos, Konstantions; Fried, Roland - Institut für Wirtschafts- und Sozialstatistik, … - 2009

. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models …

Persistent link: https://www.econbiz.de/10009219878

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of International Money and Finance 53 (2015) C, pp. 95-114

Using a novel four-phase model based upon a conditional autoregressive Wishart framework for realized variances and covariances we quantify intra-daily volatility spillovers within and across the US, German and Japanese stock markets before and during the subprime crisis. We find significant...

Persistent link: https://www.econbiz.de/10011263954

Intra-daily volatility spillovers in international stock markets

Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of international money and finance 53 (2015), pp. 95-114

Persistent link: https://www.econbiz.de/10011475912