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Maximum likelihood inference for asymmetric stochastic volatility models

Abbara, Omar; Zevallos, Mauricio - In: Econometrics : open access journal 11 (2023) 1, pp. 1-18

In this paper, we propose a new method for estimating and forecasting asymmetric stochastic volatility models. The proposal is based on dynamic linear models with Markov switching written as state space models. Then, the likelihood is calculated through Kalman filter outputs and the estimates...

Persistent link: https://www.econbiz.de/10014281498

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...

Persistent link: https://www.econbiz.de/10015408198

Importance sampling in the presence of PD-LGD correlation

Metzler, Adam; Scott, Alexandre - In: Risks : open access journal 8 (2020) 1/25, pp. 1-36

This paper seeks to identify computationally efficient importance sampling (IS) algorithms for estimating large … importance sampling to estimate large deviation probabilities in those models. Numerical evidence indicates that the proposed …

Persistent link: https://www.econbiz.de/10012203783

A sequential importance sampling for estimating multi-period tail risk

Seo, Ye-Ji; Kim, Sunggon - In: Risks : open access journal 12 (2024) 12, pp. 1-22

. To overcome this shortcoming, we propose a sequential importance sampling, which is a modification of CMC. In the … proposed method. The sampling distribution of innovations is chosen differently from the estimated conditional distribution of … error of ES, and requires the less simulated samples. We propose how to find the near optimal sampling distribution. The …

Persistent link: https://www.econbiz.de/10015328727

On the Kavya-Manoharan-Burr X model : estimations under ranked set sampling and applications

Hassan, Osama H. Mahmoud; Elbatal, Ibrahim; Al-Nefaie, … - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-20

random sampling (SiRS) and ranked set sampling (RaSS), the model parameters are estimated via the maximum likelihood (MLL …

Persistent link: https://www.econbiz.de/10014295425

Parameter estimation of exponentiated exponential distribution under selective ranked set sampling

Hassan, Amal S.; Elshaarawy, Rasha S.; Nagy, Heba F. - In: Statistics in transition : an international journal of … 23 (2022) 4, pp. 37-58

Partial ranked set sampling (PRSS) is a cost-effective sampling method. It is a combination of simple random sample … (SRS) and ranked set sampling (RSS) designs. The PRSS method allows flexibility for the experimenter in selecting the …

Persistent link: https://www.econbiz.de/10014287878

Estimation of realized asymmetric stochastic volatility models using Kalman filter

Asai, Manabu - In: Econometrics : open access journal 11 (2023) 3, pp. 1-13

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates that, in a finite sample, the quasi-maximum likelihood...

Persistent link: https://www.econbiz.de/10014425668

Testing for a serial correlation in VaR failures through the exponential autoregressive conditional duration model

Małecka, Marta - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 145-162

Although regulatory standards, currently developed by the Basel Committee on Banking Supervision, anticipate a shift from VaR to ES, the evaluation of risk models currently remains based on the VaR measure. Motivated by the Basel regulations, we address the issue of VaR backtesting and...

Persistent link: https://www.econbiz.de/10012487146

An IID test for functional time series with applications to high-frequency VIX index data

Huang, Xin; Shang, Han Lin; Siu, Tak Kuen - In: Risks : open access journal 13 (2025) 2, pp. 1-25

To address a key issue in functional time series analysis on testing the randomness of an observed series, we propose an IID test for functional time series by generalizing the Brock-Dechert-Scheinkman (BDS) test, which is commonly used for testing nonlinear independence. Similarly to the BDS...

Persistent link: https://www.econbiz.de/10015333723

Robust tests for ARCH in the presence of a misspecified conditional mean : a comparison of nonparametric approaches

Maki, Daiki; Ota, Yasushi - In: Cogent economics & finance 9 (2021) 1, pp. 1-18

This study compares the size and power of autoregressive conditional heteroskedasticity (ARCH) tests that are robust to the presence of a misspecified conditional mean. The approaches employed are based on two nonparametric regressions for the conditional mean: an ARCH test with a...

Persistent link: https://www.econbiz.de/10013183738