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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Instituut - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011257033
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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Institute - 2000
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM model incorporates the unobserved volatility as an explanatory variable in the mean equation. The same extension is...
Persistent link: https://www.econbiz.de/10005281817
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 2001
ofseveral modelcharacteristics (unit roots, GARCH, stochastic volatility, heavy taileddisturbance densities) areinvestigated in …
Persistent link: https://www.econbiz.de/10011256653
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Instituut - 1999
. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed disturbancedensities …
Persistent link: https://www.econbiz.de/10011257188
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 2001
methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10005137067
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Daily Exchange Rate Behaviour and Hedging of Currency Risk
Bos, Charles S.; Mahieu, Ronald J.; Dijk, Herman K. van - Tinbergen Institute - 1999
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10005137117
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Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David; Hoogerheide, Lennart F. - Tinbergen Instituut - 2010
estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient …-nested GARCH-type models are estimated and combined to predict the distribution of next-day ahead log-returns. …
Persistent link: https://www.econbiz.de/10011255484
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between …
Persistent link: https://www.econbiz.de/10011256766
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Herding, A-synchronous Updating and Heterogeneity in Memory in a CBS
Diks, Cees; Weide, Roy van der - Tinbergen Instituut - 2003
predicts MA(1) structure with a negative coeffient. Asynchronous updating leads to an MA(1) model for returns with GARCH($1 …,1$) innovations, and predicts a relation between the ARCH and GARCH coefficients. Heterogeneity in memory leads to long … coefficient and the relation between the ARCH and GARCH coefficients for exchange rate data. …
Persistent link: https://www.econbiz.de/10011256802