Showing 1 - 10 of 1,891
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile factors allows for summarizing these two heterogeneities in a...
Persistent link: https://www.econbiz.de/10014314068
A modification of the self-perturbed Kalman filter of Park and Jun (1992) is proposed for the on-line estimation of models subject to parameter in stability. The perturbation term in the updating equation of the state covariance matrix is weighted by the measurement error variance, thus avoiding...
Persistent link: https://www.econbiz.de/10010402289
We present a new model to decompose total daily return volatility into a filtered (high-frequency based) open-to-close volatility and a time-varying scaling factor. We use score-driven dynamics based on fat-tailed distributions to limit the impact of incidental large observations. Applying our...
Persistent link: https://www.econbiz.de/10012056853
Persistent link: https://www.econbiz.de/10014288373
This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It...
Persistent link: https://www.econbiz.de/10013177995
Several lessons learned from a Bayesian analysis of basic economic time series models by means of the Gibbs sampling algorithm are presented. Models include the Cochrane-Orcutt model for serial correlation, the Koyck distributed lag model, the Unit Root model, the Instrumental Variables model...
Persistent link: https://www.econbiz.de/10011349180
boosting selects influential terms. Markov chain Monte Carlo (MCMC) simulation estimates the final model to provide credible … inference of effects, scores and predictions. The selection of terms and MCMC simulation are applied for data of the year 2016 …
Persistent link: https://www.econbiz.de/10011875788
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
This paper estimates the distribution-led regime of the US economy for the period 1947-2019. We use a time varying parameter model, which allows for changes in the regime over time. To the best of our knowledge this is the first paper that has attempted to do this. This innovation is important,...
Persistent link: https://www.econbiz.de/10012814160
In previous studies, high-frequency data has been used to improve portfolio allocation by estimating the full realized covariance matrix. In this paper, we show that strategies using high-frequency data for measuring and forecasting univariate realized volatility alone can already generate...
Persistent link: https://www.econbiz.de/10013034024