Similar Search Results

Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts

Haas, Markus; Mittnik, Stefan; Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 2004

Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulated moments estimator for option volatilities described in Mizrach (2002); the second is a new approach...

Persistent link: https://www.econbiz.de/10005750171

Learning and Conditional Heteroscedasticity in Asset Returns

Mizrach, Bruce - Department of Economics, Rutgers University-New Brunswick - 1996

Despite the widespread use of the GARCH model, the specification of the heteroscedasticity is essentially ad hoc. This … paper's contribution is to develop a model of asset pricing and learning where GARCH disturbances evolve naturally out of … supports the extended GARCH specification proposed in the paper. …

Persistent link: https://www.econbiz.de/10005800361

ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test

Nakatsuma, Teruo; Tsurumi, Hiroki - Department of Economics, Rutgers University-New Brunswick - 1996

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models … method of testing strict stationarity and ergodicity of the conditional variance in the GARCH(1,1) process, near epoch … depencenve (NED), and finiteness of unconditional moments of the GARCH(1,1) process by using a Markov chain Monte Carlo (MCMC …

Persistent link: https://www.econbiz.de/10005800421

On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting

Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009

. Finally, the predictive accuracy of the HAR-RV model is tested against GARCH specifications using one-step-ahead forecasts …

Persistent link: https://www.econbiz.de/10005078954

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - European Central Bank - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression eroor as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10005816215