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Maximum likelihood estimation for the fractional Vasicek model

Tanaka, Katsuto; Xiao, Weilin; Yu, Jun - In: Econometrics : open access journal 8 (2020) 3/32, pp. 1-28

maximum likelihood (ML). The asymptotic theory for the ML estimates (MLE) is established in the stationary case, the explosive … analysis. It is shown that changing the sign of the persistence parameter changes the asymptotic theory for the MLE, including … the rate of convergence and the limiting distribution. It is also found that the asymptotic theory depends on the value of …

Persistent link: https://www.econbiz.de/10012265682

A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)

Lucchetti, Riccardo; Venetis, Ioannis A. - 2020

The authors replicate and extend the Monte Carlo experiment presented in Doz, Giannone and Reichlin (A Quasi-Maximum Likelihood Approach For Large, Approximate Dynamic Factor Models, Review of Economics and Statistics, 2012) on alternative (time-domain based) methods for extracting dynamic...

Persistent link: https://www.econbiz.de/10012221951

Long-horizon asset and portfolio returns revisited : evidence from US markets

Tri Hoang - In: Cogent business & management 10 (2023) 2, pp. 1-16

This study revisits the widely used assumptions in long-term asset allocation: the normal distribution of long-horizon returns and the negligible impacts of estimation errors on the expected returns. This study uses the innovative simulation method of Fama and French (2018) for horizons of up to...

Persistent link: https://www.econbiz.de/10014503297

Spurious relationships for nearly non-stationary series

Cheng, Yushan; Hui, Yongchang; McAleer, Michael; Wong, … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-24

Literature shows that the regression of independent and (nearly) nonstationary time series could result in spurious outcomes. In this paper, we conjecture that under some situations, the regression of two independent and nearly non-stationary series does not have any spurious problem at all. To...

Persistent link: https://www.econbiz.de/10012626690

A new INAR(1) model for Z-valued time series using the relative binomial thinning operator

Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152

A new first-order integer-valued autoregressive process (INAR(1)) with extended Poisson innovations is introduced based on a signed version of the thinning operator, called relative binomial thinning operator, which can be considered as an extension of standard binomial thinning operator...

Persistent link: https://www.econbiz.de/10014514104

Forecasting half-hourly electricity prices using a mixed-frequency structural VAR framework

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Li, Mengheng; … - In: Econometrics : open access journal 13 (2025) 1, pp. 1-26

Electricity price forecasting has been a topic of significant interest since the deregulation of electricity markets worldwide. The New Zealand electricity market is run primarily on renewable fuels, and so weather metrics have a significant impact on electricity price and volatility. In this...

Persistent link: https://www.econbiz.de/10015408219

Option pricing and portfolio optimization under a multi-asset jump-diffusion model with systemic risk

Makarov, Roman - In: Risks : open access journal 11 (2023) 12, pp. 1-24

We explore a multi-asset jump-diffusion pricing model, combining a systemic risk asset with several conditionally independent ordinary assets. Our approach allows for analyzing and modeling a portfolio that integrates high-activity security, such as an exchange trading fund (ETF) tracking a...

Persistent link: https://www.econbiz.de/10014446758

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

procedure to the requisite scenario. We establish central limit theory for our estimators and first‐order asymptotic validity of … theory and wild bootstrap procedures in finite samples. Finally, we illustrate the use of the new methods by examining the …

Persistent link: https://www.econbiz.de/10014362565

The use of the bootstrap method for the assessment of investment effectiveness and risk : the case of confidence intervals estimation for the Sharpe ratio and TailVaR

Klaudia, Jarno; Łukasz, Smaga - In: Journal of banking and financial economics 1 (2020) 13, pp. 40-50

This paper is aimed at presenting application of bootstrap interval estimation methods to the assessment of financial investment’s effectiveness and risk. At first, we give an overview of various methods of bootstrap confidence interval estimation, i.e. bootstrap-t interval, percentile...

Persistent link: https://www.econbiz.de/10012887711

Improved inference on the rank of a matrix

Chen, Qihui; Fang, Zheng - In: Quantitative economics : QE ; journal of the … 10 (2019) 4, pp. 1787-1824

This paper develops a general framework for conducting inference on the rank of an unknown matrix Π0. A defining feature of our setup is the null hypothesis of the form . The problem is of first‐order importance because the previous literature focuses on by implicitly assuming away , which...

Persistent link: https://www.econbiz.de/10012202917