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Jointly modeling autoregressive conditional mean and variance of non-negative valued time series

Kawakatsu, Hiroyuki - In: Econometrics : open access journal 7 (2019) 4/48, pp. 1-19

This paper considers observation driven models with conditional mean and variance dynamics for non-negative valued time series. The motivation is to relax the restriction imposed on the higher order moment dynamics in standard multiplicative error models driven only by the conditional mean...

Persistent link: https://www.econbiz.de/10012160740

Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...

Persistent link: https://www.econbiz.de/10010281483

A multiplicative error model with heterogeneous components for forecasting realized volatility

Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219

Persistent link: https://www.econbiz.de/10011305259

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

Persistent link: https://www.econbiz.de/10008727350

Jointly modeling autoregressive conditional mean and variance of non-negative valued time series

Kawakatsu, Hiroyuki - In: Econometrics 7 (2019) 4, pp. 1-19

Persistent link: https://www.econbiz.de/10012696263

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM … where local estimation windows are fixed on an ad hoc basis. …

Persistent link: https://www.econbiz.de/10010330969

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … selected macroeconomic variables. These findings may improve the estimation of risk measures such as the (portfolio) Value at …

Persistent link: https://www.econbiz.de/10010295926

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael; Schmieder, Christian - Deutsche Bundesbank - 2007

Persistent link: https://www.econbiz.de/10005082806

Local Adaptive Multiplicative Error Models for High-Frequency Forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM … where local estimation windows are fixed on an ad hoc basis. …

Persistent link: https://www.econbiz.de/10010544325

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010318750