Download or read book Essays on Nonparametric Econometrics of Stochastic Volatility written by Yang Zu and published by . This book was released on 2012 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stochastic Volatility and Jumps written by Diep Ngoc Duong and published by . This book was released on 2013 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation comprises three essays on financial economics and econometrics. The first essay outlines and expands upon further testing results from Bhardwaj, Corradi and Swanson (BCS: 2008) and Corradi and Swanson (2011). In particular, specification tests in the spirit of the conditional Kolmogorov test of Andrews (1997) that rely on block bootstrap resampling methods are first discussed. We then broaden our discussion from single process specification testing to multiple process model selection by discussing how to construct predictive densities and how to compare the accuracy of predictive densities derived from alternative (possibly misspecified) diffusion models. In particular, we generalize simulation steps outlined in Cai and Swanson (2011) to multifactor models where the number of latent variables is larger than three. In the second essay, we begin by discussing important developments in volatility modeling, with a focus on time varying and stochastic volatility as well as the "model free" estimation of volatility via the use of so-called realized volatility, and variants thereof called realized measures. In an empirical investigation, we use realized measures to investigate the role of "small" and large" jumps in the realized variation of stock price returns and show that jumps do matter in the relative contribution to the total variation of the process, when examining individual stock returns, as well as market indices. The third essay examines the predictive content of a variety of realized measures of jump power variations, all formed on the basis of power transformations of instantaneous returns. Our prediction involves estimating members of the linear and nonlinear extended Heterogeneous Autoregressive of the Realized Volatility (HAR-RV) class of models, using S & P 500 futures data as well as stocks in the Dow 30, for the period 1993-2009. Our findings suggest that past "large" jump power variations help less in the prediction of future realized volatility, than past "small" jump power variations. Our empirical findings also suggest that past realized signed jump power variations, which have not previously been examined in this literature, are strongly correlated with future volatility.

Download or read book Volatility and Time Series Econometrics Essays in Honor of Robert Engle written by Tim Bollerslev and published by OUP Oxford. This book was released on 2010-02-11 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Engle received the Nobel Prize for Economics in 2003 for his work in time series econometrics. This book contains 16 original research contributions by some the leading academic researchers in the fields of time series econometrics, forecasting, volatility modelling, financial econometrics and urban economics, along with historical perspectives related to field of time series econometrics more generally.Engle's Nobel Prize citation focuses on his path-breaking work on autoregressive conditional heteroskedasticity (ARCH) and the profound effect that this work has had on the field of financial econometrics. Several of the chapters focus on conditional heteroskedasticity, and develop the ideas of Engle's Nobel Prize winning work. Engle's work has had its most profound effect on the modelling of financial variables and several of the chapters use newly developed time series methods to study thebehavior of financial variables. Each of the 16 chapters may be read in isolation, but they all importantly build on and relate to the seminal work by Nobel Laureate Robert F. Engle.

Download or read book Essays on Nonparametric and Dynamic Time seies Econometrics written by Shih-Tang Hwu and published by . This book was released on 2018 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores important macroeconomics issues based on both classical and Bayesian Econometrics tools developed. One goal of the first chapter of the dissertation is to develop identification conditions and algorithm for estimating Markov-switching models without imposing distribution assumptions. Since the seminal work of Hamilton (1989), the basic Markov-switching model has been extended in various ways. Without a single exception, estimation of the aforementioned models and the other Markov-switching models in the literature has relied upon parametric assumptions on the distribution of the error terms. Most applications of Markov-switching models in the literature assume normally distributed error terms, with rare exceptions like Dueker (1997) who proposes a model of stock returns in which the innovation comes from a Student-t distribution. The question then would be: what if a normal log-likelihood is maximized but the normality assumption is violated? Based on simulation studies, we find that maximum likelihood estimation could lead to sizable bias in the parameter estimates and poor inferences about regime probabilities when the normality assumption is violated, even for a sample size as large as 5,000. We approximate the unknown distribution of the error term by the Dirichlet process mixture of normals, in which the number of mixtures is treated as a parameter to estimate. In doing so, we pay a special attention to identification of the model. We apply the proposed model to the growth of postwar U.S. industrial production index in order to investigate its regime-switching dynamics. Our univariate model can effectively control for the irregular components that is not related to business conditions. This leads to sharp and accurate inferences on recession probabilities just like the dynamic factor models of Kim and Yoo (1995), Chauvet (1998), and Kim and Nelson (1998) do. The second chapter of the dissertation investigates the relationships between innovations to trend inflation and inflation-gap in a univariate unobserved components model with with Markov-switching volatility. Building on the work of Stock and Watson (2007), we empirically shows that a negative correlation between innovations to trend inflation and the inflation gap, when it is combined with time-varying inflation gap persistence, plays an important role in the dynamics of postwar US inflation. A negative correlation between trend inflation and the markup shock may be an important source of their negative correlation. Like the time-varying VAR models of Cogley and Sbordone (2008) and Ascari and Sbordone (2014), our model results in smooth trend inflation, from which inflation persistently deviates during the Great inflation period. Furthermore, our model provides superior out-of-sample forecasts than Stock and Watson's (2007) unobserved components model with stochastic volatility or than Atkeson and Ohanian's (2001) random walk model does. One goal of the last chapter of the dissertation is to develop estimation methods in linear regression model with endogenous variables but only weak instrument variables. The proposed methods exploit the time-varying volatility of the endogenous variables. We show that the proposed estimators are consistent and asymptotically normally distributed. We also show that the proposed methods have much better power compare with the existing weak instrument robust test through simulations. Another goal of the last chapter is to investigate the magnitude of elasticity of intertemporal substitution (EIS), which is one of the most important parameters in applied macroeconomics and finance. Yogo (2004) applies the existing weak instrument robust test to estimate EIS and find 22 out of 33 confidence interval to be ([-infinity, infinity])which is very uninformative. We apply proposed approach to estimate the EIS using the data employed by Yogo (2004). Confidence intervals based on proposed methods are much tighter than those constructed by weak instrument robust tests and its value is generally close to 0.

Download or read book Essays on Stochastic Volatility and Jumps written by Ke Chen (Economist) and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis studies a few different finance topics on the application and modelling of jump and stochastic volatility process. First, the thesis proposed a non-parametric method to estimate the impact of jump dependence, which is important for portfolio selection problem. Comparing with existing literature, the new approach requires much less restricted assumption on the jump process, and estimation results suggest that the economical significance of jumps is largely mis-estimated in portfolio optimization problem. Second, this thesis investigates the time varying variance risk premium, in a framework of stochastic volatility with stochastic jump intensity. The proposed model considers jump intensity as an extra factor which is driven by realized jumps, in addition to a stochastic volatility model. The results provide strong evidence of multiple factors in the market and show how they drive the variance risk premium. Thirdly, the thesis uses the proposed models to price options on equity and VIX consistently. Based on calibrated model parameters, the thesis shows how to calculate the unconditional correlation of VIX future between different maturities.

Download or read book Three Essays in Time Series Econometrics written by Atsushi Inoue and published by . This book was released on 1998 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Honor of Peter C B Phillips written by Thomas B. Fomby and published by Emerald Group Publishing. This book was released on 2014-11-21 with total page 772 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume honors Professor Peter C.B. Phillips' many contributions to the field of econometrics. The topics include non-stationary time series, panel models, financial econometrics, predictive tests, IV estimation and inference, difference-in-difference regressions, stochastic dominance techniques, and information matrix testing.

Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Download or read book Essays in Honor of Cheng Hsiao written by Dek Terrell and published by Emerald Group Publishing. This book was released on 2020-04-15 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: Including contributions spanning a variety of theoretical and applied topics in econometrics, this volume of Advances in Econometrics is published in honour of Cheng Hsiao.

Download or read book Essays in Nonparametric Econometrics written by Tomasz Olma and published by . This book was released on 2021* with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stochastic Volatility written by Marcus Nossman and published by . This book was released on 2009 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Volatility written by Neil Shephard and published by OUP Oxford. This book was released on 2005-03-10 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial markets. This book brings together some of the main papers that have influenced the field of the econometrics of stochastic volatility, and shows that the development of this subject has been highly multidisciplinary, with results drawn from financial economics, probability theory, and econometrics, blending to produce methods and models that have aided our understanding of the realistic pricing of options, efficient asset allocation, and accurate risk assessment. A lengthy introduction by the editor connects the papers with the literature.

Download or read book Essays on Stochastic Volatility Models with Jump Clustering written by Jian Chen and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Stochastic Volatility written by Hyung-Jin Chung and published by . This book was released on 1997 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Volatility in Financial Markets written by Antonio Mele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of financial markets volatility. This phenomenon, technically termed `stochastic volatility', or `conditional heteroskedasticity', has been well known for at least 20 years; in this part, further, useful theoretical properties of conditionally heteroskedastic models are uncovered. The second part goes beyond the statistical aspects of stochastic volatility models: it constructs and uses new fully articulated, theoretically-sounded financial asset pricing models that allow for the presence of conditional heteroskedasticity. The third part shows how the inclusion of the statistical aspects of stochastic volatility in a rigorous economic scheme can be faced from an empirical standpoint.

Download or read book Essays on Multivariate Stochastic Volatility Models written by Sebastian Trojan and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay describes a very general stochastic volatility (SV) model specification with leverage, heavy tails, skew and switching regimes, using realized volatility (RV) as an auxiliary time series to improve inference on latent volatility. The information content of the range and of implied volatility using the VIX index is also analyzed. Database is the S & P 500 index. Asymmetry in the observation error is modeled by the generalized hyperbolic skew Student-t distribution, whose heavy and light tail enable substantial skewness. Resulting number of regimes and dynamics differ dependent on the auxiliary volatility proxy and are investigated in-sample for the financial crash period 2008/09 in more detail. An out-of-sample study comparing predictive ability of various model variants for a calm and a volatile period yields insights about the gains on forecasting performance from different volatility proxies. Results indicate that including RV or the VIX pays off mostly in more volatile market conditions, whereas in calmer environments SV specifications using no auxiliary series outperform. The range as volatility proxy provides a superior in-sample fit, but its predictive performance is found to be weak. The second essay presents a high frequency stochastic volatility model. Price duration and associated absolute price change in event time are modeled contemporaneously to fully capture volatility on the tick level, combining the SV and stochastic conditional duration (SCD) model. Estimation is with IBM stock intraday data 2001/10 (decimalization completed), taking a minimum midprice threshold of a half tick. Persistent information flow is extracted, featuring a positively correlated innovation term and negative cross effects in the AR(1) persistence matrix. Additionally, regime switching in both duration and absolute price change is introduced to increase nonlinear capabilities of the model. Thereby, a separate price jump.

Download or read book Three Essays on Continuous time Stochastic Volatility Models written by Lu Feng and published by . This book was released on 1996 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: