Journal ArticleDOI
Time series models : in econometrics, finance and other fields
Abstract:
Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodologyread more
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Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models
TL;DR: The empirical analysis on stock returns on US market shows that 1% and 5 % Value-at-Risk thresholds based on one-step-ahead forecasts of covariances by the new specification are satisfactory for the period includes the global financial crisis.
Dissertation
Multifractal Models, Intertrade Durations and Return Volatility
TL;DR: In this article, the authors present the application of multifractal processes in modeling financial time series and demonstrate the capacity and the robustness of the MF processes to better model return volatility and ultra high frequency financial data than both the generalized autoregressive conditional heteroscedasticity (GARCH)-type and auto-gressive conditional duration (ACD) models currently used in research and practice.
Journal ArticleDOI
Valuation before and after tax in the discrete time, finite state no arbitrage model
TL;DR: In this article, the authors establish necessary and sufficient conditions for a linear taxation system to be neutral within the multi-period discrete time "no arbitrage" model, in the sense that valuation is invariant to the exact sequence of tax rates, realization dates as well as immune to timing options attempting to twist the time profile of taxable income through wash sale transactions.
Journal ArticleDOI
On the Stationary Version of the Generalized Hyperbolic ARCH Model
Ramsés H. Mena,Stephen G. Walker +1 more
TL;DR: In this article, the generalized hyperbolic ARCH-type model is shown to be strictly stationary and an estimation procedure is proposed to obtain a robust non-Gaussian ARCH type alternative.