Showing 1 - 7 of 7
the pattern of volatility spillovers. We estimate the bivariate structural GARCH models proposed by Spargoli e Zagaglia …
Persistent link: https://www.econbiz.de/10008475719
A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...
Persistent link: https://www.econbiz.de/10005091090
In this paper we contribute several new results on the NoVaS transformation approach for volatility forecasting introduced by Politis (2003a,b, 2007). In particular: (a) we introduce an alternative target distribution (uniform); (b) we present a new method for volatility forecasting using NoVaS...
Persistent link: https://www.econbiz.de/10005091122
This paper proposes the Bayesian semiparametric dynamic Nelson-Siegel model, where the density of the yield curve factors and thereby the density of the yields are estimated along with other model parameters. This is accomplished by modeling the error distributions of the factors according to a...
Persistent link: https://www.econbiz.de/10010607396
This paper studies a stochastic conditional duration (SCD) model with a mixture of distribution processes for financial asset’s transaction data. Specifically it imposes a mixture of two positive distributions on the innovations of the observed duration process, where the mixture component...
Persistent link: https://www.econbiz.de/10010668198
This paper extends stochastic conditional duration (SCD) models for financial transaction data to allow for correlation between error processes or innovations of observed duration process and latent log duration process. Novel algorithms of Markov Chain Monte Carlo (MCMC) are developed to fit...
Persistent link: https://www.econbiz.de/10010668204
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the model which applies in each regime and the out-of-sample probability of a break...
Persistent link: https://www.econbiz.de/10009142658