Author: Matteo Barigozzi
Publisher:
ISBN:
Category :
Languages : en
Pages : 23

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Book Description

Author: Matteo Barigozzi
Publisher:
ISBN:
Category :
Languages : en
Pages : 25

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Author: Matteo Barigozzi
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Marc Hallin
Publisher: World Scientific Publishing Company
ISBN: 9789813278004
Category : Business & Economics
Languages : en
Pages : 764

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Book Description
Factor models have become the most successful tool in the analysis and forecasting of high-dimensional time series. This monograph provides an extensive account of the so-called General Dynamic Factor Model methods. The topics covered include: asymptotic representation problems, estimation, forecasting, identification of the number of factors, identification of structural shocks, volatility analysis, and applications to macroeconomic and financial data.

Author: Siem Jan Koopman
Publisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685

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Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.

Author: Michael P. Clements
Publisher: OUP USA
ISBN: 0195398645
Category : Business & Economics
Languages : en
Pages : 732

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Book Description
Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 15

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Book Description
We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns. In this financial analysis, both these components are modeled as a GARCH.We compare GDFM+GARCH and standard GARCH performance on two samples up to 171 series, providing one-step-ahead volatility predictions of returns. The GDFM+GARCH model outperforms the standard GARCH in most cases. These results are robust with respect to different volatility proxies. -- Dynamic Factors ; GARCH ; volatility forecasting

Author: Michel van der Wel
Publisher:
ISBN:
Category :
Languages : en
Pages : 51

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Book Description
The implied volatility surface is the collection of volatilities implied by option contracts for different strike prices and time-to-maturity. We study factor models to capture the dynamics of this three-dimensional implied volatility surface. Three model types are considered to examine desirable features for representing the surface and its dynamics: a general dynamic factor model, restricted factor models designed to capture the key features of the surface along the moneyness and maturity dimensions, and in-between spline-based methods. Key findings are that: (i) the restricted and spline-based models are both rejected against the general dynamic factor model, (ii) the factors driving the surface are highly persistent, (iii) for the restricted models option Delta is preferred over the more often used strike relative to spot price as measure for moneyness.

Author: Jörg Breitung
Publisher:
ISBN: 9783865580979
Category :
Languages : en
Pages : 29

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Book Description

Author: Christian Francq
Publisher: John Wiley & Sons
ISBN: 1119957397
Category : Mathematics
Languages : en
Pages : 469

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Book Description
This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.