Search Results - subject:"stochastic volatility"

An optimal investment strategy for insurers in incomplete markets

Badaoui, Mohamed; Fernández, Begoña; Swishchuk, Anatoliy - In: Risks 6 (2018) 2, pp. 1-23

-Lundberg process. The insurer is allowed to invest in a risky asset with stochastic volatility subject to the influence of an economic …

Persistent link: https://www.econbiz.de/10011996589

Comparison of the Korean and US Stock Markets Using Continuous-time Stochastic Volatility Models

Choi, Seungmoon - In: KDI Journal of Economic Policy 40 (2018) 4, pp. 1-22

We estimate three continuous-time stochastic volatility models following the approach by Aït-Sahalia and Kimmel (2007 … stochastic volatility models. To do this we need the transition probability density function (TPDF), but the true TPDF is not … Aït-Sahalia (2008). Among three stochastic volatility models, the Heston model and the CEV model are found to be best for …

Persistent link: https://www.econbiz.de/10012034837

How important are global factors for understanding the dynamics of international capital flows?

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship …

Persistent link: https://www.econbiz.de/10012042471

Should I stay or should I go? A latent threshold approach to large-scale mixture innovation models

Huber, Florian; Kastner, Gregor; Feldkircher, Martin - 2018

We propose a straightforward algorithm to estimate large Bayesian time-varying parameter vector autoregressions with mixture innovation components for each coefficient in the system. The computational burden becomes manageable by approximating the mixture indicators driving the time-variation in...

Persistent link: https://www.econbiz.de/10012042474

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10012144208

The evolving impact of global, region-specific and country-specific uncertainty

Mumtazy, Haroon; Mussoz, Alberto - 2018

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several …

Persistent link: https://www.econbiz.de/10012144210

Changing impact of shocks: A time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10012144217

Effectiveness of monetary and macroprudential shocks on consumer credit growth and volatility in Turkey

Chadwick, Meltem Gulenay - In: Central Bank Review (CBR) 18 (2018) 2, pp. 69-83

conduct our analysis, first, we compare a number of stochastic volatility models using our loan and credit card series in a …

Persistent link: https://www.econbiz.de/10012217568

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 15%. Using a New Keynesian model, with search and...

Persistent link: https://www.econbiz.de/10012429974

Value-at-risk for South-East Asian stock markets: Stochastic volatility vs. GARCH

Quang, Paul Bui; Klein, Tony; Walther, Thomas - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-20

markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance …-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility …

Persistent link: https://www.econbiz.de/10012611007