1 - 6 of 6 articles
Abstract Decision-making in finance often requires an accurate estimate of the coskewness matrix to optimize the allocation to random variables with asymmetric distributions. The classical sample estimator of the coskewness matrix performs poorly for small sample sizes. A solution is to use...
Abstract This paper presents simulation-based density forecast evaluation methods using particle filters. The simulation-based dynamic probability integral transformation or log-likelihood evaluation method is combined with the existing density forecast evaluation methods. This methodology is...
Abstract Estimation of models with structural breaks usually assumes a pre-specified number of breaks. Previous models which do allow an endogenously determined number of breaks require a simple structural model, and rarely allow for information transfer across the break. We introduce a...
Abstract Motivated by the Basel III regulations, recent studies have considered joint forecasts of Value-at-Risk and Expected Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little intuitive or empirical guidance is currently...
Abstract We introduce a discrete-time model for log-return dynamics with observable volatility and jumps. Our proposal extends the class of realized volatility heterogeneous auto-regressive gamma (HARG) processes adding a jump component with time-varying intensity. The model is able to reproduce...
Abstract This paper re-examines changes in the causal link between money and income in the United States over the past half century (1959–2014). Three methods for the data-driven discovery of change points in causal relationships are proposed, all of which can be implemented without prior...
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