Showing 1 - 10 of 22
This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rate. This method is compared in its ability to capture the dynamics of short rate volatility to a class of one-factor diffusion models where the conditional variance is serially correlated and...
Persistent link: https://www.econbiz.de/10013154084
Persistent link: https://www.econbiz.de/10014530742
This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the...
Persistent link: https://www.econbiz.de/10014040966
The use of parametric GARCH models to characterize crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets,...
Persistent link: https://www.econbiz.de/10013107329
Persistent link: https://www.econbiz.de/10011517001
Persistent link: https://www.econbiz.de/10012117591
We propose a bivariate component GARCH-MIDAS model to estimate the long- and short-run components of the variances and covariances. The advantage of our model to the existing DCC-based models is that it uses the same form for both the variances and covariances and that it estimates these moments...
Persistent link: https://www.econbiz.de/10012853667
Persistent link: https://www.econbiz.de/10014536704
Persistent link: https://www.econbiz.de/10014486544
We propose a novel measure of the ex-ante commodity downside-risk premium (CDP) for each commodity based on a term structure model of commodity futures. Our theory-based CDP, capturing forward-looking information in the futures markets, outperforms well-known characteristics in explaining the...
Persistent link: https://www.econbiz.de/10014239736