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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...

Persistent link: https://www.econbiz.de/10009789426

Simultaneous statistical inference in dynamic factor models

Dickhaus, Thorsten-Ingo - 2012

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of...

Persistent link: https://www.econbiz.de/10009531431

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/10010503919

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10003796145

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional … systems by means of a two-step strategy. The finite sample properties of the GMM estimator of the combination weights are … combination ; GMM ; portfolio optimization …

Persistent link: https://www.econbiz.de/10003796201

A generalized ARFIMA process with Markov-switching fractional differencing parameter

Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 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/10003633683

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10003633787

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

Persistent link: https://www.econbiz.de/10003634717

Value-at-risk and expected shortfall when there is long range dependence

Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10003636008

Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality

Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...

Persistent link: https://www.econbiz.de/10003636133