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. They are applicable to the complete class of observation driven models and are valid for a wide range of estimation …
Persistent link: https://www.econbiz.de/10010491409
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10010326148
prefiltration of the data, which certainly impacts the estimation. We make use of the proposed model to obtain an improved estimate …
Persistent link: https://www.econbiz.de/10010281546
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index. In...
Persistent link: https://www.econbiz.de/10010282828
We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...
Persistent link: https://www.econbiz.de/10011506800
The topic of volatility measurement and estimation is central to financial and more generally time series econometrics … estimation. The models discussed share the common feature that volatilities are unobserved, and belong to the class of missing …
Persistent link: https://www.econbiz.de/10010282858
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10010295743
This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying...
Persistent link: https://www.econbiz.de/10010284151
We propose a new methodology for the Bayesian analysis of nonlinear non-Gaussian state space models with a Gaussian time-varying signal, where the signal is a function of a possibly high-dimensional state vector. The novelty of our approach is the development of proposal densities for the joint...
Persistent link: https://www.econbiz.de/10010326393
We propose a new methodology for designing flexible proposal densities for the joint posterior density of parameters and states in a nonlinear non-Gaussian state space model. We show that a highly efficient Bayesian procedure emerges when these proposal densities are used in an independent...
Persistent link: https://www.econbiz.de/10010491347