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Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10011256871

Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010

This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the parsimonious and effective GARCH(1,1) model with Student-<I>t</I> innovations. The estimation procedure is fully automatic and thus avoids the tedious task of tuning a MCMC sampling...</i>

Persistent link: https://www.econbiz.de/10011256998

The Impact of Effect Size Heterogeneity on Meta-Analysis: A Monte Carlo Experiment

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2007

In this paper we use Monte Carlo simulation to investigate the impact of effect size heterogeneity on the results of a meta-analysis. Specifically, we address the small sample behaviour of the OLS, the fixed effects regression and the mixed effects meta-estimators under three alternative...

Persistent link: https://www.econbiz.de/10011256468

Correcting for Primary Study Misspecifications in Meta-Analysis

Koetse, Mark J.; Florax, Raymond J.G.M.; Groot, Henri … - Tinbergen Instituut - 2005

In non-experimental sciences the errors associated with model misspecifications in primarystudies carry over to meta-analysis. We use Monte Carlo simulations to analyse the effects ofthese misspecifications on results of a meta-analysis using a meta-estimator that calculates asimple average...

Persistent link: https://www.econbiz.de/10011256967

Testing I(1) against I(d) alternatives in the presence of deteministic components

Dolado, Juan J.; Gonzalo, Jesús; Mayoral, Laura - Department of Economics and Business, Universitat … - 2005

This paper discusses the role of deterministic components in the DGP and in the auxiliary regression model which underlies the implementation of the Fractional Dickey-Fuller (FDF) test for I(1) against I(d) processes with d € [0, 1). This is an important test in many economic applications...

Persistent link: https://www.econbiz.de/10005572574

A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles

Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013

Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...

Persistent link: https://www.econbiz.de/10011257156

Nonparametric Methods in Continuous-Time Finance: A Selective Review

Cai, Zongwu; Hong, Yongmiao - Sonderforschungsbereich 373, Quantifikation und … - 2003

This paper gives a selective review on the recent developments of nonparametric methods in continuous-time finance, particularly in the areas of nonparametric estimation of diffusion processes, nonparametric testing of parametric diffusion models, and nonparametric pricing of derivatives. For...

Persistent link: https://www.econbiz.de/10010956574

Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000

In this paper we compare the predictive abilility of Stochastic Volatility (SV)models to that of volatility forecasts implied by option prices. We develop anSV model with implied volatility as an exogeneous var able in the varianceequation which facilitates the use of statistical tests for...

Persistent link: https://www.econbiz.de/10011255461

Common factors governing VDAX movements and the maximum loss

Härdle, Wolfgang; Schmidt, Peter - Sonderforschungsbereich 373, Quantifikation und … - 2000

Based on daily VDAX data this paper analyzes the factors governing the movements of implied volatilities of options on … factors representing shift and curvature of the term structure of at the money DAX options. We present a risk management tool … for options portfolios using the Maximum Loss methodology based on Principal Components. …

Persistent link: https://www.econbiz.de/10010983545

Technological Inefficiency and the Skewness of the Error Component in Stochastic Frontier Analysis

Carree, Martin A. - Tinbergen Instituut - 2002

(negative) skewness in the case of stochastic production (cost) frontieranalysis. It takes as example the binomial distribution …

Persistent link: https://www.econbiz.de/10011256458