Finite-Sample Properties of GARCH Models in the Presence of Time-Varying Unconditional Variance : A Simulation Study
Title | Finite-Sample Properties of GARCH Models in the Presence of Time-Varying Unconditional Variance : A Simulation Study PDF eBook |
Author | Oliver Old |
Publisher | |
Pages | |
Release | 2020 |
Genre | |
ISBN |
Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Title | Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model PDF eBook |
Author | Oliver Old |
Publisher | Springer Nature |
Pages | 260 |
Release | 2022-07-27 |
Genre | Business & Economics |
ISBN | 3658386185 |
The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index.
Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model
Title | Modeling Time-Varying Unconditional Variance by Means of a Free-Knot Spline-GARCH Model PDF eBook |
Author | Oliver Old |
Publisher | |
Pages | 0 |
Release | 2022 |
Genre | |
ISBN | 9783658386191 |
The book addresses the problem of a time-varying unconditional variance of return processes utilizing a spline function. The knots of the spline functions are estimated as free parameters within a joined estimation process together with the parameters of the mean, the conditional variance and the spline function. With the help of this method, the knots are placed in regions where the unconditional variance is not smooth. The results are tested within an extensive simulation study and an empirical study employing the S&P500 index. About the author: The dissertation was written at the Chair of Applied Statistics and Methods of Empirical Social Research at the Faculty of Economics and Business Administration of the FernUniversität in Hagen. From 2021 Oliver Old researched in the field of applied statistics, machine learning and data science at two EU-Horizon projects at the Department of Anesthesiology, Intensive Care and Pain Therapy at the University Hospital Frankfurt.
Complex Systems in Finance and Econometrics
Title | Complex Systems in Finance and Econometrics PDF eBook |
Author | Robert A. Meyers |
Publisher | Springer Science & Business Media |
Pages | 919 |
Release | 2010-11-03 |
Genre | Business & Economics |
ISBN | 1441977007 |
Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Finite Sample Properties of the Order of Linear Time Series Models Selected by Akaike's Information Criterion and Its Extension: a Simulation Study
Title | Finite Sample Properties of the Order of Linear Time Series Models Selected by Akaike's Information Criterion and Its Extension: a Simulation Study PDF eBook |
Author | Maurice Chakusaga Yohana MBAGO |
Publisher | |
Pages | 0 |
Release | 1979 |
Genre | |
ISBN |
A Multivariate GARCH Model with Time-Varying Correlations
Title | A Multivariate GARCH Model with Time-Varying Correlations PDF eBook |
Author | Y.K. Tse |
Publisher | |
Pages | 34 |
Release | 2018 |
Genre | |
ISBN |
In this paper we propose a new multivariate GARCH model with time-varying correlations. We adopt the vech representation based on the conditional variances and the conditional correlations. While each conditional-variance term is assumed to follow a univariate GARCH formulation, the conditional-correlation matrix is postulated to follow an autoregressive moving average type of analogue. By imposing some suitable restrictions on the conditional-correlation-matrix equation, we construct a MGARCH model in which the conditional-correlation matrix is guaranteed to be positive definite during the optimization. Thus, our new model retains the intuition and interpretation of the univariate GARCH model and yet satisfies the positive-definite condition as found in the constant-correlation and BEKK models. We report some Monte Carlo results on the finite-sample distributions of the MLE of the varying-correlation MGARCH model. The new model is applied to some real data sets. It is found that extending the constant-correlation model to allow for time-varying correlations provides some interesting time histories that are not available in a constant-correlation model.
Handbook of Financial Time Series
Title | Handbook of Financial Time Series PDF eBook |
Author | Torben Gustav Andersen |
Publisher | Springer Science & Business Media |
Pages | 1045 |
Release | 2009-04-21 |
Genre | Business & Economics |
ISBN | 3540712976 |
The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.