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Does the macroeconomy predict UK asset returns in an nonlinear fashion? Comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010
non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …
Persistent link: https://www.econbiz.de/10010285857
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Multivariate Contemporaneous Threshold Autoregressive Models
Dueker, Michael; Psaradakis, Zacharias; Sola, Martin; … - Departamento de Economía, Universidad Torcuato Di Tella - 2009
In this paper we propose a contemporaneous threshold multivariate smooth transition autoregressive (C-MSTAR) model in … which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold …
Persistent link: https://www.econbiz.de/10005041754
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Multivariate Contemporaneous-Threshold Autoregressive Models
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - Departament d'Economia i Història Econòmica, … - 2010
This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which … the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold …
Persistent link: https://www.econbiz.de/10008622207
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State-Dependent Threshold STAR Models
Dueker, Michael J.; Psaradakis, Zacharias; Sola, Martin; … - Departament d'Economia i Història Econòmica, … - 2010
threshold is a time-varying function of variables that affect the separation of regimes of the time series under consideration … best thought of in relative terms. State-dependent logistic STAR and contemporaneous-threshold STAR models are introduced … threshold is allowed to be a function of past output growth and inflation. …
Persistent link: https://www.econbiz.de/10008622209
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Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
Persistent link: https://www.econbiz.de/10008668600
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Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010
non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth … which conditional heteroskedasticity is captured by GARCH type specifications and in which predicted volatilities appear in …
Persistent link: https://www.econbiz.de/10008990694
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; van Dijk, Dick; de Pooter, Michiel - 2004
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10010325218
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Modeling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo C.; Veiga, Alvaro - 2004
In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in …
Persistent link: https://www.econbiz.de/10011807314
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Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Instituut - 2004
This discussion paper resulted in a publication in the 'International Journal of Forecasting', 2009, 27, 282-303.<P> The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally...</p>
Persistent link: https://www.econbiz.de/10011257135
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Modelling multiple regimes in financial volatility with a flexible coefficient GARCH model
Medeiros, Marcelo Cunha; Veiga, Alvaro - Departamento de Economia, Pontifícia Universidade … - 2004
In this paper a flexible GARCH-type model is developed with the aim of describing sign and size asymmetries in …
Persistent link: https://www.econbiz.de/10005744709