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Vector autoregressions with parsimoniously time varying parameters and an application to monetary policy

Callot, Laurent; Kristensen, Johannes Tang - 2014

) and studies the properties of the Lasso and adaptive Lasso as estimators of this model. The parameters of the model are … finite sample properties of the Lasso by deriving upper bounds on the estimation and prediction errors that are valid with … of non zero increments grows slower than √T . By simulation experiments we investigate the properties of the Lasso and …

Persistent link: https://www.econbiz.de/10010433901

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

Availability of high-frequency data, in line with IT developments, enables the use of Availability of high-frequency data, in line with IT developments, enables the use of more information to estimate not only the variance (volatility), but also higher realized moments and the entire realized...

Persistent link: https://www.econbiz.de/10012264979

A penalized two-pass regression to predict stock returns with time-varying risk premia

Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - 2021

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no arbitrage restrictions by regularizing appropriate groups of coefficients. The second...

Persistent link: https://www.econbiz.de/10012487589

Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Chao, John C.; Swanson, Norman R. - 2022

-Augmented VAR Models by Chao and Swanson (2022) are gathered in this paper …

Persistent link: https://www.econbiz.de/10013306503

Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models

Chao, John C.; Swanson, Norman R. - 2022

. We study this problem within a factor-augmented VAR (FAVAR) framework, and show that by using variables selected via our …

Persistent link: https://www.econbiz.de/10013306504

Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach

Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021

We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...

Persistent link: https://www.econbiz.de/10013233982

Conditional Quantile Analysis for Realized GARCH Models

Kim, Donggyu; Oh, Minseog; Wang, Yazhen - 2021

apply the proposed methodology to calculate the value at risk (VaR) of 20 individual assets and compare its performance with …

Persistent link: https://www.econbiz.de/10013216324

Multivariate Overnight GARCH-Ito Model with Applications in Large Volatility Matrix Estimation and Prediction

Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2022

This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction both in the low- and high-dimensional set-up. To account for whole-day market dynamics in the financial market, the proposed model has two different instantaneous volatility...

Persistent link: https://www.econbiz.de/10013290653

Dynamic Realized Beta Models Using Robust Realized Integrated Beta Estimator

Kim, Donggyu; Oh, Minseog; Song, Minjeong; Wang, Yazhen - 2022

This paper introduces a unified parametric modeling approach for time-varying market betas that can accommodate continuous-time diffusion and discrete-time series models based on a continuous-time series regression model to better capture the dynamic evolution of market betas.We call this the...

Persistent link: https://www.econbiz.de/10013290654

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549