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Improving the Accuracy of Bubble Date Estimators Under Time-Varying Volatility
Kurozumi, Eiji; Skrobotov, Anton - 2023
the residuals and then employ the WLS-based estimation of the bubble dates. We demonstrate by Monte Carlo simulations that …
Persistent link: https://www.econbiz.de/10014354236
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Censored Quantile Regressions and the Determinants of Real Estate Liquidity
Cajias, Marcelo - 2018
In this paper we analyze the liquidity (time on market) of rental dwellings and its determinants for different liquidity quantiles in the largest seven German cities. The determinants are estimated using censored quantile regressions in order to investigate the impact on very liquid to very...
Persistent link: https://www.econbiz.de/10012928736
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Estimating School Proximity Effects on Housing Prices : The Importance of Robust Spatial Controls in Hedonic Estimations
Sah, Vivek - 2016
The authors use a data set of over 20,000 residential housing sales in 2010 and 2011 in San Diego County to measure the school proximity effects on nearby residential housing. Prior research supports the existence of a "school proximity premium" for housing located near K-12 schools. However,...
Persistent link: https://www.econbiz.de/10012992312
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The Shape of Small Sample Biases in Pricing Kernel Estimations
Leisen, Dietmar - 2016
Numerous empirical studies find pricing kernels that are not-monotonically decreasing; the findings are at odds with the pricing kernel being marginal utility of a risk-averse, so-called representative agent. We study in detail the common procedure which estimates the pricing kernel as the ratio...
Persistent link: https://www.econbiz.de/10013006617
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Estimation of a Nonparametric model for Bond Prices from Cross-section and Time series Information
Koo, Bonsoo - 2019
We develop estimation methodology for an additive nonparametric panel model that is suitable for capturing the pricing … techniques: cross-sectional nonparametric methods and kernel estimation for time varying dynamics in the time series context. The …
Persistent link: https://www.econbiz.de/10012891762
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Measuring Contemporaneous Correlation between Return Shock and Volatility Shock in an EGARCH Model
Yang, Minxian - 2011
the proposed model are analyzed. The estimation of the model with the SP500 excess return series lends a mild support for …
Persistent link: https://www.econbiz.de/10013133961
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A Markov-Switching Range-Based Volatility Model with Applications in Volatility Adjusted VAR Estimation
Wu, Chun-Chou - 2012
for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …
Persistent link: https://www.econbiz.de/10013109345
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The Nonlinear Iterative Least Squares (NL-ILS) Estimator : An Application to Volatility Models
Fruet Dias, Gustavo - 2018
The paper proposes a new robust estimator for GARCH-type models: the nonlinear iterative least squares (NL-ILS). This estimator is especially useful on specifications where errors have some degree of dependence over time (weak-GARCH) or when the conditional variance is misspecified. I illustrate...
Persistent link: https://www.econbiz.de/10012928873
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Periodic heteroskedastic RegARFIMA models for daily electricity spot prices
Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003
Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that stochastic heteroskedastic behaviour in prices can only be modelled correctly when the conditional mean of the time series is properly modelled. In this paper we consider different...
Persistent link: https://www.econbiz.de/10011334362
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Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency
Kalnina, Ilze - 2015
We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices …
Persistent link: https://www.econbiz.de/10013034657