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Regularized estimation of high-dimensional vector autoregressions with weakly dependent innovations

Masini, Ricardo P.; Medeiros, Marcelo C.; Mendes, Eduardo F. - 2020

-dimensional models. In time series context, it is mostly restricted to Gaussian autoregressions or mixing sequences. We study oracle … properties of LASSO estimation of weakly sparse vector-autoregressive models with heavy tailed, weakly dependent innovations with … and strong (ff-) mixing sequences as particular examples. From a modeling perspective, it covers several multivariate …

Persistent link: https://www.econbiz.de/10012817070

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics 5 (2017) 3, pp. 1-46

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms' assets as an index of retail investors' attention. Thus, we create an extensive...

Persistent link: https://www.econbiz.de/10011995242

Discussion of Principal Volatility Component Analysis by Yu-Pin Hu and Ruey Tsay

McAleer, Michael - 2014

This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...

Persistent link: https://www.econbiz.de/10010377227

Intraday volatility, trading volume and trading intensity in the interbank market e-MID

Engler, Markus; Jeleskovic, Vahidin - 2016

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

Persistent link: https://www.econbiz.de/10011666920

Industry Interdependency Dynamics in a Network Context

Qian, Ya; Härdle, Wolfgang Karl; Chen, Cathy Yi-Hsuan - 2017

(Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the construction of industry …

Persistent link: https://www.econbiz.de/10011725379

Adaptive weights clustering of research papers

Adamyan, Larisa; Efimov, Kirill; Chen, Cathy Yi-hsuan; … - 2017

The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic Literature) is picked by the author(s) bearing the risk of suboptimal...

Persistent link: https://www.econbiz.de/10011725380

Singular conditional autoregressive Wishart model for realized covariance matrices

Alfelt, Gustav; Bodnar, Taras; Javed, Farrukh; Tyrcha, … - 2020

Realized covariance matrices are often constructed under the assumption that richness of intra-day return data is greater than the portfolio size, resulting in non-singular matrix measures. However, when for example the portfolio size is large, assets suffer from illiquidity issues, or market...

Persistent link: https://www.econbiz.de/10012654472

Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...

Persistent link: https://www.econbiz.de/10010281562

Connecting VIX and stock index ETF with VAR and diagonal BEKK

Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25

using vector autoregressive (VAR) models to determine whether daily VIX returns with different moving average processes … heteroskedasticity in the VAR estimates of ETF returns. Daily data on ETF returns that follow different stock indexes in the USA and …

Persistent link: https://www.econbiz.de/10012611071

Flexibility in the Market for International Carbon Credits and Price. Dynamics Difference with European Allowances

Gavard, Claire; Kirat, Djamel - 2015

We analyze the price dynamics of European allowances and international carbon credits in the second phase of the European carbon market. We develop and use a model combining fundamental drivers associated with the demand for quotas by installations and risk-return considerations related to the...

Persistent link: https://www.econbiz.de/10010491259