Search Results - subject:"stochastic volatility"

US Monetary Policy in a Globalized World

Crespo-Cuaresma, Jesús; Doppelhofer, Gernot; … - 2016

autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary …

Persistent link: https://www.econbiz.de/10011451454

The evolving transmission of uncertainty shocks in the United Kingdom

Mumtaz, Haroon - In: Econometrics 4 (2016) 1, pp. 1-18

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...

Persistent link: https://www.econbiz.de/10011755323

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics 4 (2016) 3, pp. 1-31

noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined …

Persistent link: https://www.econbiz.de/10011755337

Generalized fractional processes with long memory and time dependent volatility revisited

Peiris, M. Shelton; Asai, Manabu - In: Econometrics 4 (2016) 3, pp. 1-21

follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the …

Persistent link: https://www.econbiz.de/10011755341

Estimation of dynamic panel data models with stochastic volatility using particle filters

Xu, Wen - In: Econometrics 4 (2016) 4, pp. 1-13

countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate … volatility exists, our approach can be better than the maximum likelihood estimator which neglects stochastic volatility and … particle filter-based estimator. When the volatility of volatility is high, or when regressors are absent but stochastic …

Persistent link: https://www.econbiz.de/10011755352

The state level impact of uncertainty shocks

Mumtaz, Haroon; Sunder-Plassmann, Laura; … - 2016

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

Persistent link: https://www.econbiz.de/10011796517

Volatility co-movement and the great moderation: An empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...

Persistent link: https://www.econbiz.de/10011796528

Early exercise premium method for pricing American options under the J-model

Jerbi, Yacin - In: Financial Innovation 2 (2016) 21, pp. 1-26

Background: This study develops a new model called J-am for pricing American options and for determining the related early exercise boundary (EEB). This model is based on a closed-form solution J-formula for pricing European options, defined in the study by Jerbi (Quantitative Finance,...

Persistent link: https://www.econbiz.de/10011808230

Loan growth and bank solvency: evidence from the Pakistani banking sector

Kashif, Muhammad; Iftikhar, Syed Faizan; Iftikhar, Khurram - In: Financial Innovation 2 (2016) 22, pp. 1-13

Persistent link: https://www.econbiz.de/10011808231

The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s

Akram, Q. Farooq; Mumtaz, Haroon - 2016

We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable petroleum revenues, a switch from exchange rate to inflation targeting and...

Persistent link: https://www.econbiz.de/10012143879