1,720,966 research outputs found
MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
No full textIn this paper we present a stochastic volatility model assuming that the return shock has a Skew-GED distribution. This allows a parsimonious yet flexible treatment of asymmetry and heavy tails in the conditional distribution of returns. The Skew-GED distribution nests both the GED, the Skew-normal and the normal densities as special cases so that specification tests are easily performed. Inference is conducted under a Bayesian framework using Markov Chain MonteCarlo methods for computing the posterior distributions of the parameters. More precisely, our Gibbs-MH updating scheme makes use of the Delayed Rejection Metropolis-Hastings methodology as proposed by Tierney and Mira (1999), and of Adaptive-Rejection Metropolis sampling. We apply this methodology to a data set of daily and weekly exchange rates. Our results suggest that daily returns are mostly symmetric with fat-tailed distributions while weekly returns exhibit both significant asymmetry and fat tails
Investigating asymmetry in US stock market indexes: evidence from a stochastic volatility model
No full textThis study provides empirical evidence on asymmetry in financial returns using a simple stochastic volatility model which allows a parsimonious yet flexible treatment of both skewness and heavy tails in the conditional distribution of returns. In particular, it is assumed that returns have a Skew-GED conditional distribution. Inference is conducted under a Bayesian framework using Markov Chain Monte Carlo methods for estimating the properties of the posterior distributions of the parameters. One is also able to perform some specification testing via Bayes factors. The data set consists of daily and weekly returns on the DJ30, S&P500 and Nasdaq US stock market indexes. The estimation results are consistent with the presence of substantial asymmetry and heavy tails in the distribution of US stock market indexes
Asymptotic inference in time series regressions with a unit root and infinite variance errors
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Introduzione all'econometria
No full textLibro di testo che contiene il materiale didattico utile e sufficiente per un primo insegnamemnto di Ecionometria nei corsi di laurea triennali di scienze economiche. Il volume contiene tre appendici di matematica e statistica che riproducono i concetti e gli strumenti di base necessari per lo sviluppo della metodologia econometrica compresa nel testo
Fully modified estimation of cointegrating vectors via VAR prewhitening: a simulation study
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Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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