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Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

Hautsch, Nikolaus - 2013

Multiplicative error models (MEM) became a standard tool for modeling conditional durations of intra-day transactions, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so-called vector MEM (VMEM), requires a specification of the...

Persistent link: https://www.econbiz.de/10013077175

Generalized exogenous processes in DSGE: A Bayesian approach

Meyer-Gohde, Alexander; Neuhoff, Daniel - 2015

The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...

Persistent link: https://www.econbiz.de/10011335461

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-Jen; Härdle, Wolfgang Karl - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10010274125

Goodness-of-fit test for specification of semiparametric copula dependence models

Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between in-sample and out-of-sample pseudolikelihoods, which avoids the use of any probability integral transformations. Under the...

Persistent link: https://www.econbiz.de/10010331132

Do tax cuts Increase consumption? An experimental test of Ricardian Equivalence

Meissner, Thomas; Rostam-Afschar, Davud - 2014

This paper tests whether the Ricardian Equivalence proposition holds in a life cycle consumption laboratory experiment … not hold in general. Our results suggest that taxation has a significant and strong impact on consumption choice. Over the … life cycle, a tax relief increases consumption on average by about 22% of the tax rebate. A tax increase causes consumption …

Persistent link: https://www.econbiz.de/10010491444

A consistent nonparametric test for causality in quantile

Jeong, Kiho; Härdle, Wolfgang Karl - 2008

This paper proposes a nonparametric test of causality in quantile. Zheng (1998) has proposed an idea to reduce the problem of testing a quantile restriction to a problem of testing a particular type of mean restriction in independent data. We extend Zheng's approach to the case of dependent...

Persistent link: https://www.econbiz.de/10010274141

On the Appropriateness of Inappropriate VaR Models

Härdle, Wolfgang; Hlávka, Zdeněk; Stahl, Gerhard - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Die Berechnung des VaR führt zur Reduktion der Dimension des Raumes der Risikofaktoren. Die vorzunehmenden Vereinfachungen resultieren aus unterschiedlichen Beweggründen, z.B. technische Effizienz, Sachlogik der Ergebnisse und statistische Adäquanz des Modells. Im Kapitel 2 stellen wir drei...

Persistent link: https://www.econbiz.de/10005854718

Probleme der Validierung mit Strukturgleichungsmodellen

Hildebrandt, Lutz; Temme, Dirk - 2006

This article evaluates the performance of structural equation models in validating measurement models for hypothetical constructs and deals with specific issues following from the way this methodology is typically applied in scale construction. In particular, controlling for various types of...

Persistent link: https://www.econbiz.de/10010263663

Formative measurement models in covariance structure analysis: Specification and identification

Hildebrandt, Lutz; Temme, Dirk - 2006

Many researchers seem to be unsure about how to specify formative measurement models in software programs like LISREL or AMOS and to establish identification of the corresponding structural equation model. In order to make identification easier, a new, mainly graphically-oriented approach is...

Persistent link: https://www.econbiz.de/10010263664

On the appropriateness of inappropriate VaR models

Härdle, Wolfgang Karl; Hlávka, Zdeněk; Stahl, Gerhard - 2006

The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...

Persistent link: https://www.econbiz.de/10010274278