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Robust Value at Risk Prediction : Appendix

Mancini, Loriano - 2010

This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …

Persistent link: https://www.econbiz.de/10013138328

Simulation of Arbitrage-Free Implied Volatility Surfaces

Cont, Rama; Vuletić, Milena - 2023

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate how our method may be combined with a factor model for the implied volatility surface to generate dynamic scenarios for arbitrage-free implied volatility surfaces. Our approach...

Persistent link: https://www.econbiz.de/10014258455

Semiparametric Bayesian Inference for Time Series with Mixed Spectra

Carter, Chris K.; Kohn, Robert - 2008

A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of...

Persistent link: https://www.econbiz.de/10014029563

Optimal bandwidth selection in non-parametric spectral density estimation : review and simulation

Fortin, Ines - 1999

comparison is based on a small simulation study. The processes that are simulated are in the class of ARMA (5,5) processes. Based … on the simulation evidence, we suggest to use a slightly modified version of Buehlmann's (1996) iterative method …. -- window width ; bandwidth ; non-parametric spectral estimation ; simulation …

Persistent link: https://www.econbiz.de/10009711652

An objective function for simulation based inference on exchange rate data

Winker, Peter (contributor); Gilli, Manfred (contributor); … - 2007

estimation approach, e.g., for agent based microsimulation models or complex multifractal models, simulation based estimators …

Persistent link: https://www.econbiz.de/10003548061

A specification test for nonparametric instrumental variable regression

Gagliardini, Patrick (contributor); … - 2007

distribution is normal under the null hypothesis, and a consistent bootstrap is available to get simulation based critical values …

Persistent link: https://www.econbiz.de/10003550675

Testing for equality between two copulas

Remillard, Bruno (contributor); … - 2007

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

Persistent link: https://www.econbiz.de/10003550857

Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments

Creel, Michael D. - 2009

accuracy by applying kernel smoothing methods to a long simulation. With such conditional moments in hand, standard method of …

Persistent link: https://www.econbiz.de/10013154330

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Kristensen, Dennis - 2008

We propose a simulated maximum likelihood estimator for dynamic models based on non-parametric kernel methods. Our method is designed for models without latent dynamics from which one can simulate observations but cannot obtain a closed-form representation of the likelihood function. Using the...

Persistent link: https://www.econbiz.de/10012722610

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Kristensen, Dennis - 2006

We propose a simulated maximum likelihood estimator (SMLE) for general stochastic dynamic models based on nonparametric kernel methods. The method requires that, while the actual likelihood function cannot be written down, we can still simulate observations from the model. From the simulated...

Persistent link: https://www.econbiz.de/10012734210