07350015%2E2014%2E917979
Teks penuh
Gambar
Garis besar
Dokumen terkait
We provide the asymptotic analy- sis of common volatility risk factor estimation using large panels of filtered volatilities such as (1) parametric spot volatility filters
The empirical results with two realized volatility measures and daily returns for five stock indices show the feasibility of the realized BCSV model and demonstrate that the
Figure 5 shows the empirical cumulative distribution function of the PIT of the autoregressive model forecasts (dark, solid line) together with the uniform cumulative
We conduct a comprehensive empirical analysis of continuous-time models for equity index returns with the aim of investigating the properties of several widely used model
Third, using this time-series of pseudo yields, we recompute the return-forecasting factor, estimate the model subject to the CP and self-consistency restrictions, and save
A forecast combination consisting only of the VAR model, the commodity price model, the oil futures spread model, and the TVP product spread model, has lower recursive MSPE than
This corroborates our finding from Section 4.1 that the pricing performance of the EZ model is rather similar to the ambiguity sensitive models, that is, an ambiguity neutral
(A simulation-based method for density estimation in the context of parametric time series mod- els with latent states is also considered in Zhao ( 2011 ). Zhao’s estimator requires
