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Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate
Pincheira, Pablo; Jarsun, Nabil - 2020
This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...
Persistent link: https://www.econbiz.de/10015229382
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Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure
Yang, Bill Huajian - 2017
estimation of the asset correlation is required. As an example, the proposed model, benchmarked with the rating transition model … approach for parameter estimation is proposed based on maximum likelihood for observing rank outcome frequencies. Applications … structure for IFRS9 expected credit loss estimation and CCAR stress testing. Unlike the rating transition model based on Merton …
Persistent link: https://www.econbiz.de/10015256549
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US stock market regimes and oil price shocks
Angelidis, Timotheos; Degiannakis, Stavros; Filis, George - 2015
The paper investigates the ability of oil price returns, oil price shocks and oil price volatility to provide predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation of oil price shocks according to their origin allows us...
Persistent link: https://www.econbiz.de/10015256947
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Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component
Yang, Bill Huajian - 2017
Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation …
Persistent link: https://www.econbiz.de/10015257063
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Functional GARCH models: the quasi-likelihood approach and its applications
Cerovecki, Clément; Francq, Christian; Hormann, Siegfried - 2018
The increasing availability of high frequency data has initiated many new research areas in statistics. Functional data analysis (FDA) is one such innovative approach towards modelling time series data. In FDA, densely observed data are transformed into curves and then each (random) curve is...
Persistent link: https://www.econbiz.de/10015258936
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A Class of Generalized Dynamic Correlation Models
He, Zhongfang - 2018
This paper proposes a class of parametric correlation models that apply a two-layer autoregressive …-moving-average structure to the dynamics of correlation matrices. The proposed model contains the Dynamic Conditional Correlation model of … Engle (2002) and the Varying Correlation model of Tse and Tsui (2002) as special cases and offers greater flexibility in a …
Persistent link: https://www.econbiz.de/10015259413
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Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-
MESTRE, Roman; TERRAZA, Michel - 2017
The Beta coefficient theorized by the CAPM is estimated by the Market Line. By hypothesis, the Beta is stable over time but empirical studies on it volatility don't confirm this fact. One of them is related to with agent heterogeneity hypothesis. In this paper; we study this hypothesis by...
Persistent link: https://www.econbiz.de/10015260078
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Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
Gouriéroux, Christian; Monfort, Alain; Zakoian, Jean-Michel - 2018
In a transformation model $\by_t = c [\ba(\bx_t,\bbeta), \bu_t]$, where the errors $\bu_t$ are i.i.d and independent of the explanatory variables $\bx_t$, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but...
Persistent link: https://www.econbiz.de/10015260917
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A review of more than one hundred Pareto-tail index estimators
Fedotenkov, Igor - 2018
This paper reviews more than one hundred Pareto (and equivalent) tail index estimators. It focuses on univariate estimators for nontruncated data. We discuss basic ideas of these estimators and provide their analytical expressions. As samples from heavy-tailed distributions are analysed by...
Persistent link: https://www.econbiz.de/10015262087
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Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series
Aknouche, Abdelhakim; Dimitrakopoulos, Stefanos - 2021
structure of the model is studied in the context of the stochastic recurrence equation theory, while estimation of the model …
Persistent link: https://www.econbiz.de/10015262339