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Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
Jensen, Mark J; Maheu, John M - Volkswirtschaftliche Fakultät, … - 2013
The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. However, there is no … weights and arguments. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is …
Persistent link: https://www.econbiz.de/10011108168
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Bayesian Semiparametric Modeling of Realized Covariance Matrices
Jin, Xin; Maheu, John M - Volkswirtschaftliche Fakultät, … - 2014
This paper introduces several new Bayesian nonparametric models suitable for capturing the unknown conditional distribution of realized covariance (RCOV) matrices. Existing dynamic Wishart models are extended to countably infinite mixture models of Wishart and inverse-Wishart distributions. In...
Persistent link: https://www.econbiz.de/10011110553
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Posterior consistency of nonparametric conditional moment restricted models
Liao, Yuan; Jiang, Wenxin - Volkswirtschaftliche Fakultät, … - 2011
This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the...
Persistent link: https://www.econbiz.de/10011113752
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Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
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Dynamic Spillover Effects in Futures Markets
Antonakakis, Nikolaos; Kizys, Renatas; Floros, Christos - Volkswirtschaftliche Fakultät, … - 2014
study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility … and UK. Specifically, the spot and futures volatility spillovers between the UK and US markets are of bidirectional nature …
Persistent link: https://www.econbiz.de/10011111958
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Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH
Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014
Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different … dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the … Bollerslev (1990), as this method helps in jointly estimating volatility equation of return and volume in one step estimation …
Persistent link: https://www.econbiz.de/10011114116
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996: Appendices
Geweke, John; Keane, Michael - Volkswirtschaftliche Fakultät, … - 2005
This study develops practical methods for Bayesian nonparametric inference in regression models. The emphasis is on extending a nonparametric treatment of the regression function to the full conditional distribution. It applies these methods to the relationship of earnings of men in the United...
Persistent link: https://www.econbiz.de/10011108700
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Advances in Random Utility Models
Horowitz, Joel; Keane, Michael; Bolduc, Denis; Divakar, … - Volkswirtschaftliche Fakultät, … - 1994
In recent years, major advances have taken place in three areas of random utility modeling: (1) semiparametric estimation, (2) computational methods for multinomial probit models, and (3) computational methods for Bayesian stimation. This paper summarizes these developments and discusses their...
Persistent link: https://www.econbiz.de/10011109965
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Bayesian Cross-Sectional Analysis of the Conditional Distribution of Earnings of Men in the United States, 1967-1996
Geweke, John; Keane, Michael - Volkswirtschaftliche Fakultät, … - 2005
This study develops practical methods for Bayesian nonparametric inference in regression models. The emphasis is on extending a nonparametric treatment of the regression function to the full conditional distribution. It applies these methods to the relationship of earnings of men in the United...
Persistent link: https://www.econbiz.de/10011110968