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Numerically accelerated importance sampling for nonlinear non-Gaussian state space models
Koopman, Siem Jan; Lucas, André; Scharth, Marcel - 2012
refer to our new method as numerically accelerated importance sampling. The method is computationally and numerically …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10013146598
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Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł; Koopman, Siem Jan; Lucas, André - 2011
Persistent link: https://www.econbiz.de/10009720703
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...
Persistent link: https://www.econbiz.de/10011313230
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10011380135
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Value-at-Risk and Expected Shortfall in Cryptocurrencies' Portfolio : A Vine Copula-based Approach
Trucíos, Carlos - 2019
Risk management is an important and helpful process for investors, hedge funds, traders and market makers. One of its key points is the appropriate estimation of risk measures which can improve the investment decisions and trading strategies. The high volatility of cryptocurrencies turns them a...
Persistent link: https://www.econbiz.de/10012864228
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Dynamic Copula Models and High Frequency Data
De Lira Salvatierra, Irving Arturo - 2013
This paper proposes a new class of dynamic copula models for daily asset returns that exploits information from high frequency (intra-daily) data. We augment the generalized autoregressive score (GAS) model of Creal, et al. (2012) with high frequency measures such as realized correlation to...
Persistent link: https://www.econbiz.de/10013080095
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How Can Long Memory in Volatility Be Eliminated in Portfolio Optimization : An Empirical Evidence Using Copulas
Mzoughi, Hela - 2021
This paper focuses on the analysis of long-memory properties of copula-based time series. We empirically investigate the relation between copulas parameter modeling both temporal dependence and dependence structure, using simulated and financial series. Our results prove the existence of a...
Persistent link: https://www.econbiz.de/10013252451
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Modelling Dependency of Volatility on Sampling Frequency via Delay Equations
Luong, Chuong - 2016
The paper studies the impact of the sampling frequency on the volatility of financial time series. We suggest to model … the dependence of volatility on sampling frequency via delay equations for the underlying prices. It appears that these … equations allow to model the price processes with volatility that increases when the sampling rates increase. In addition, these …
Persistent link: https://www.econbiz.de/10013006683
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Modelling the Dependence of Volatility from Sampling Frequency
Parentich, William - 2019
This paper explores the influence of sampling frequency on volatility of financial time series in the framework of the … delay model for stock prices suggested in Luong and Dokuchaev (2016). The dependence of the volatility on the sampling … as the sampling rate increases. Conversely, in other cases, we found that the volatility increases as the sampling rate …
Persistent link: https://www.econbiz.de/10012894498