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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Forecasting half-hourly electricity prices using a mixed-frequency structural VAR framework

Kapoor, Gaurav; Wichitaksorn, Nuttanan; Li, Mengheng; … - In: Econometrics : open access journal 13 (2025) 1, pp. 1-26

impact on electricity price and volatility. In this paper, we employ a mixed-frequency vector autoregression (MF …

Persistent link: https://www.econbiz.de/10015408219

Joint Bayesian Analysis of Parameters and States in Nonlinear, Non-Gaussian State Space Models

Barra, Istvan - 2016

evidence for stochastic intensity and stochastic volatility models based on Ornstein-Uhlenbeck processes. For our empirical …

Persistent link: https://www.econbiz.de/10013005987

Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model

Hautsch, Nikolaus (contributor) - 2007

relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious … specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading …

Persistent link: https://www.econbiz.de/10003634717

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The …

Persistent link: https://www.econbiz.de/10013128856

Conditional Heteroskedasticity in the Volatility of Asset Returns

Ding, Yashuang (Dexter) - 2021

We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model … of Ding (2021b). CH-V models can be seen as a special case of the stochastic volatility of volatility model. We then …

Persistent link: https://www.econbiz.de/10013214647

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012156426

Uusing the symmetric models garch (1.1) and garch-m (1.1) to investigate volatility and persistence for the european and us financial markets

Duță, Violeta - In: Financial studies 22 (2018) 1, pp. 64-86

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily … persistence of volatility, meaning that the conditional volatility tends to revert faster to the long-term mean than the other … statistically significant and positive (thus confirming the hypothesis that an increase in volatility leads an increase in future …

Persistent link: https://www.econbiz.de/10011964941

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

This study examines the statistical properties required to model the dynamics of both the returns and volatility series … adequately estimate long-memory dynamics in returns and volatility. The in-sample diagnostic tests as well as out … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684