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Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery

Schröder, Anna Louise; Fryzlewicz, Piotr - Volkswirtschaftliche Fakultät, … - 2013

decomposition of nonstationarity into short- and long-term components. The model permits consistent estimation of the multiscale …

Persistent link: https://www.econbiz.de/10011108954

Firma Başarısızlığının Dinamiklerinin Belirlenmesinde Makina Öğrenmesi Teknikleri: Ampirik Uygulamalar ve Karşılaştırmalı Analiz

Cakir, Murat - Volkswirtschaftliche Fakultät, … - 2005

Recent financial crises and especially large corporate bankruptcies, have led bank managements and financial authorities to follow and monitor both financial and real sector risks, and to focus on firm failures. Bank of International Settlements, has therefore, taken the decision to include the...

Persistent link: https://www.econbiz.de/10011111559

A new Pearson-type QMLE for conditionally heteroskedastic models

Zhu, Ke; Li, Wai Keung - Volkswirtschaftliche Fakultät, … - 2014

This paper proposes a novel Pearson-type quasi maximum likelihood estimator (QMLE) of GARCH(p; q) models. Unlike the existing Gaussian QMLE, Laplacian QMLE, generalized non-Gaussian QMLE, or LAD estimator, our Pearsonian QMLE(PQMLE) captures not just the heavy-tailed but also the skewed...

Persistent link: https://www.econbiz.de/10011260403

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821

A new Pearson-type QMLE for conditionally heteroskedastic models

Zhu, Ke; Li, Wai Keung - Volkswirtschaftliche Fakultät, … - 2013

This paper proposes a novel Pearson-type quasi maximum likelihood estimator (QMLE) of GARCH($p, q$) models. Unlike the existing Gaussian QMLE, Laplacian QMLE, generalized non-Gaussian QMLE, or LAD estimator, our Pearsonian QMLE (PQMLE) captures not the heavy-tailed but also the skewed...

Persistent link: https://www.econbiz.de/10011112398

An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation

Francq, Christian; Sucarrat, Genaro - Volkswirtschaftliche Fakultät, … - 2013

Estimation of log-GARCH models via the ARMA representation is attractive because it enables a vast amount of already …

Persistent link: https://www.econbiz.de/10011112442

Kernel filtering of spot volatility in presence of Lévy jumps and market microstructure noise

Yu, Chao; Fang, Yue; Zhao, Xujie; Zhang, Bo - Volkswirtschaftliche Fakultät, … - 2013

This paper considers the problem of estimating spot volatility in the simultaneous presence of Lévy jumps and market microstructure noise. We propose to use the pre-averaging approach and the threshold kernel-based method to construct a spot volatility estimator, which is robust to both...

Persistent link: https://www.econbiz.de/10011234839

Risks of large portfolios

Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng - Volkswirtschaftliche Fakultät, … - 2013

infeasible upper bound for the estimation error. In addition, numerical studies illustrate that this upper bound is very crude …-confidence level upper bound (H-CLUB) to assess the accuracy of the risk estimation. The H-CLUB is constructed based on three different … traditional crude bounds, and provide insightful assessment of the estimation of the portfolio risks. In addition, our simulated …

Persistent link: https://www.econbiz.de/10011112630

Large covariance estimation by thresholding principal orthogonal complements

Fan, Jianqing; Liao, Yuan; Mincheva, Martina - Volkswirtschaftliche Fakultät, … - 2011

This paper deals with estimation of high-dimensional covariance with a conditional sparsity structure, which is the … allow the presence of the cross-sectional correlation even after taking out common but unobservable factors. We introduce … the Principal Orthogonal complEment Thresholding (POET) method to explore such an approximate factor structure. The POET …

Persistent link: https://www.econbiz.de/10011112962

Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?

Leeb, Hannes; Pötscher, Benedikt M. - Volkswirtschaftliche Fakultät, … - 2005

We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined procedure resulting from first selecting a model (e.g., by a model selection criterion like AIC or by a hypothesis...

Persistent link: https://www.econbiz.de/10005619444