Similar Search Results

Bayesian inference for latent factor copulas and application to financial risk forecasting

Schamberger, Benedikt; Gruber, Lutz F.; Czado, Claudia - In: Econometrics : open access journal 5 (2017) 2, pp. 1-23

Factor modeling is a popular strategy to induce sparsity in multivariate models as they scale to higher dimensions. We develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to couple the variables with the latent factor. We use...

Persistent link: https://www.econbiz.de/10011654443

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Multivariate asset return prediction with mixture models

Paolella, Marc S. - 2011

numerically reliable estimation. Crucially, the distribution theory required for portfolio theory and risk assessment is developed …

Persistent link: https://www.econbiz.de/10009375153

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz T. - 2014

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10013064150

Forecast Bitcoin volatility with least squares model averaging

Xie, Tian - In: Econometrics : open access journal 7 (2019) 3/40, pp. 1-20

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto … model and forecast Bitcoin volatility. The empirical results demonstrate that least squares model-averaging methods in …

Persistent link: https://www.econbiz.de/10012160813

VAR models with fat tails and dynamic asymmetry

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang; Österholm, Pär - 2024

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized …

Persistent link: https://www.econbiz.de/10015084442

Mixed-Frequency Predictive Regressions with Parameter Learning

Leippold, Markus; Yang, Hanlin - 2023

different frequencies but also due to the preservation of high-frequency features such as time-varying volatility. Temporally … aggregated models misspecify the evolution frequency of the volatility dynamics, resulting in poor volatility timing and worse … mixed-frequency nature of predictors and volatility in predictive regressions …

Persistent link: https://www.econbiz.de/10014348997

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

Persistent link: https://www.econbiz.de/10010339759

Tail risk forecasting of realized volatility CAViaR models

Chen, Cathy W. S.; Hsu, Hsiao-Yun; Watanabe, Toshiaki - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014304842

Bayesian analysis of multivariate stochastic volatility with skew return distribution

Nakajima, Jouchi - In: Econometric reviews 36 (2017) 5, pp. 546-562

Persistent link: https://www.econbiz.de/10011795262