Search Results - subject:"Stochastic volatility."

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - 2011

index by univariate and multivariate long-memory stochastic volatility models. …

Persistent link: https://www.econbiz.de/10010326501

Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper analyzes the empirical performance of two alternative ways in which multi-factor models with time-varying risk exposures and premia may be estimated. The first method echoes the seminal two-pass approach advocated by Fama and MacBeth (1973). The second approach is based on a Bayesian...

Persistent link: https://www.econbiz.de/10010409453

Myths and Facts About the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - 2011

This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The...

Persistent link: https://www.econbiz.de/10012143784

How computational statistics became the backbone of modern data science

Gentle, James E.; Härdle, Wolfgang Karl; Mori, Yuichi - 2011

Persistent link: https://www.econbiz.de/10010281499

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman - 2011

one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of …

Persistent link: https://www.econbiz.de/10010282854

Relating Stochastic Volatility Estimation Methods

Bos, Charles S. - Tinbergen Instituut - 2011

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … models. While variants of the GARCH model are applied in scores of articles, use of the stochastic volatility model is less … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the …

Persistent link: https://www.econbiz.de/10011257075

A Bayesian Analysis of Unobserved Component Models using Ox

Bos, Charles S. - Tinbergen Instituut - 2011

Persistent link: https://www.econbiz.de/10011257295

Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models

Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2011

index by univariate and multivariate long-memory stochastic volatility models.<P> Forthcoming in <I>Econometric Reviews</I>. …

Persistent link: https://www.econbiz.de/10011261933

Impact of calendar effects in the volatility of vale shares

Lúcio Godeiro, Lucas - Volkswirtschaftliche Fakultät, … - 2011

. The data researched were the stocks prices Vale between January 2, 1995 and October 26, 2011. The Stochastic Volatility …

Persistent link: https://www.econbiz.de/10011112413

An alternative to the Baum-Welch recursions for hidden Markov models

Bartolucci, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We develop a recursion for hidden Markov model of any order h, which allows us to obtain the posterior distribution of the latent state at every occasion, given the previous h states and the observed data. With respect to the well-known Baum-Welch recursions, the proposed recursion has the...

Persistent link: https://www.econbiz.de/10011112821