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Gaussian estimation of continuous time diffusions of UK interest rates

Nowman, K. Ben - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 8, pp. 1618-1624

This paper estimates stochastic differential equation models for the interest rate dynamics of the United Kingdom bond market using Gaussian estimation econometric methods and monthly data over the period 1970–2010 using a range of maturities. Gaussian estimates of single and two equation...

Persistent link: https://www.econbiz.de/10010869942

Computation of Japanese bonds and derivative securities

Nowman, K. Ben; Sorwar, Ghulam - In: Mathematics and Computers in Simulation (MATCOM) 47 (1998) 6, pp. 583-588

In this paper, we use the Box numerical method to compute implied bond and option prices starting from the general CKLS interest rate model based on Japanese interbank data. In particular, we compute numerically implied prices from the CKLS, Vasicek, Cox–Ingersoll–Ross and Brennan–Schwartz...

Persistent link: https://www.econbiz.de/10010870377

Estimation and inference in the yield curve model with an instantaneous error term

Ubukata, M.; Fukushige, M. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2938-2946

Many variations exist of yield curve modeling based on the exponential components framework, but most do not consider the generating process of the error term. In this paper, we propose a method of yield curve estimation using an instantaneous error term generated with a standard Brownian...

Persistent link: https://www.econbiz.de/10010870468

Constructing structural VAR models with conditional independence graphs

Oxley, Les; Reale, Marco; Wilson, Granville Tunnicliffe - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 9, pp. 2910-2916

In this paper graphical modelling is used to select a sparse structure for a multivariate time series model of New Zealand interest rates. In particular, we consider a recursive structural vector autoregressions that can subsequently be described parsimoniously by a directed acyclic graph, which...

Persistent link: https://www.econbiz.de/10010749271

Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation

Chan, Felix; Theoharakis, Billy - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1385-1396

-Generalized Autoregressive Conditional Heteroskedasticity (STAR-GARCH) can be problematic due to computational difficulties. Conventional … makes Quasi-Maximum Likelihood Estimator (QMLE) difficult to obtain for STAR-GARCH models in practice. Curiously, there has … STAR-GARCH using QMLE. The aim of the paper is to investigate the nature of the numerical difficulties using Monte Carlo …

Persistent link: https://www.econbiz.de/10010869931

The pricing of options for securities markets with delayed response

Kazmerchuk, Yuriy; Swishchuk, Anatoliy; Wu, Jianhong - In: Mathematics and Computers in Simulation (MATCOM) 75 (2007) 3, pp. 69-79

delayed response is derived. A special case of continuous-time version of GARCH is considered. The results are compared with …

Persistent link: https://www.econbiz.de/10010870462

Modelling the asymmetric volatility of electronics patents in the USA

Chan, Felix; Marinova, Dora; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 169-184

the symmetric AR(1)-GARCH(1, 1), the asymmetric AR(1)-GJR(1, 1), and asymmetric AR(1)-EGARCH(1, 1). Of these, the …

Persistent link: https://www.econbiz.de/10011050523

Extreme market risk and extreme value theory

Singh, Abhay K.; Allen, David E.; Robert, Powell J. - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 310-328

predicting static VaR, CVaR or expected shortfall (ES) and expected return level and also daily VaR using a GARCH(1,1) and EVT …

Persistent link: https://www.econbiz.de/10011051252

Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues

Cook, Steven - In: Mathematics and Computers in Simulation (MATCOM) 77 (2008) 1, pp. 109-116

. Econometrics 91 (1999) 113–144] has suggested that the examination of the unit root hypothesis in series exhibiting GARCH behaviour … should proceed via joint maximum likelihood (ML) estimation of the unit root testing equation and GARCH process. The results … empirical research. In particular, the influences of sample size, alternative values of the parameters of the GARCH process and …

Persistent link: https://www.econbiz.de/10010748448

Intra-daily information of range-based volatility for MEM-GARCH

Lam, K.P.; Ng, H.S. - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 8, pp. 2625-2632

Conventional GARCH modeling formulates an additive-error mean equation for daily return and an autoregressive moving …’s multiplicative-error model (MEM) formulation, range-based volatility is proposed as an intraday proxy for several GARCH frameworks …, are studied and compared. The impact of significant changes in intraday data has been found to reflect in the MEM-GARCH …

Persistent link: https://www.econbiz.de/10010748948