Showing 1 - 10 of 94
This paper builds on Asai and McAleer (2009) and develops a new multivariate Dynamic Conditional Correlation (DCC) model where the parameters of the correlation dynamics and those of the log-volatility process are driven by two latent Markov chains. We outline a suitable Bayesian inference...
Persistent link: https://www.econbiz.de/10010662864
This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which...
Persistent link: https://www.econbiz.de/10005641955
This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which...
Persistent link: https://www.econbiz.de/10009643871
The recent introduction into the Italian mutual fund market of Morningstar performance rating of private institutions gives rise to the question of what is the relation between this relative benchmark measure and the other traditional performance measures. This paper provides a comprehensive...
Persistent link: https://www.econbiz.de/10009276902
In time series analysis, latent factors are often introduced to model the heterogeneous time evolution of the observed processes. The presence of unobserved components makes the maximum likelihood estimation method more difficult to apply. A Bayesian approach can sometimes be preferable since it...
Persistent link: https://www.econbiz.de/10005113373
Persistent link: https://www.econbiz.de/10005438051
The aim of this work is to investigate whether the combination of forecasts plays an important role in the improvement of forecast accuracy Particular attention is paid to: (a) the methods of forecasting (the methods compared are neural networks, fuzzy logic, GARCH models, switching regime and...
Persistent link: https://www.econbiz.de/10005438062
This paper compares the performance of a quadratic utility function and discusses how to change its characteristic parameter, ARA, so that rating is consistent with return and risk measurements. In particular, this parameter is modified in such a way that a positive return Fund has always a...
Persistent link: https://www.econbiz.de/10011194198
This paper investigates the key role played by different factors, such as the use of Asset Backed Commercial Paper as collaterals in the short-term debt market, credit risk and the injection of liquidity by Central Banks through so-called unconventional measures, on the persistent spread during...
Persistent link: https://www.econbiz.de/10011056699
This paper provides the theoretical and operational framework for estimating past values of relevant time series starting from a (limited) information set. We consider a general approach that includes as special cases time series aggregation and temporal and/or spatial disaggregation problems....
Persistent link: https://www.econbiz.de/10005057182