Related papers: Empirical Study of the GARCH model with Rational E…
Metropolis-Hastings estimates intractable expectations - can differentiating the algorithm estimate their gradients? The challenge is that Metropolis-Hastings trajectories are not conventionally differentiable due to the discrete…
Volatility forecasting is essential for risk management and decision-making in financial markets. Traditional models like Generalized Autoregressive Conditional Heteroskedasticity (GARCH) effectively capture volatility clustering but often…
Volatility, as a measure of uncertainty, plays a crucial role in numerous financial activities such as risk management. The Econometrics and Machine Learning communities have developed two distinct approaches for financial volatility…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…
We present a formulation of the transaction cost analysis (TCA) in the Bayesian framework for the primary purpose of comparing broker algorithms using standardized benchmarks. Our formulation allows effective calculation of the expected…
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return…
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it can accommodate cluster structures in the conditional…
Let $(X_n)_{n\in \mathbb Z}$ be a GARCH process with $E(X_0^4)<\infty$, and let $\mu_n$ denote the distribution of $\frac 1{{\sqrt n}}\sum_{i=1}^n [X_i^2-\mathbb E(X_0^2)]$. We derive a numerical approximation of $\mu_n$ when $x_1,...,x_n$…
When an unbiased estimator of the likelihood is used within a Metropolis--Hastings chain, it is necessary to trade off the number of Monte Carlo samples used to construct this estimator against the asymptotic variances of averages computed…
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical data, in comparison with a Gaussian, exhibit leptokurtosis…
This research proposes a flexible Bayesian extension of the composite Gaussian process (CGP) model of Ba and Joseph (2012) for predicting (stationary or) non-stationary $y(\mathbf{x})$. The CGP generalizes the regression plus stationary…
Markov Chain Monte Carlo (MCMC) methods have a drawback when working with a target distribution or likelihood function that is computationally expensive to evaluate, specially when working with big data. This paper focuses on…
This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ…
We present the elliptical processes -- a family of non-parametric probabilistic models that subsumes the Gaussian process and the Student-t process. This generalization includes a range of new fat-tailed behaviors yet retains computational…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
This paper introduces a loss-based generalized Bayesian methodology for high-dimensional robust regression with serially correlated errors and predictors. The proposed framework employs a novel scaled pseudo-Huber (SPH) loss function, which…
We develop misspecification tests for building additive time-varying (ATV-)GARCH models. In the model, the volatility equation of the GARCH model is augmented by a deterministic time-varying intercept modeled as a linear combination of…
Conditional heteroscedastic (CH) models are routinely used to analyze financial datasets. The classical models such as ARCH-GARCH with time-invariant coefficients are often inadequate to describe frequent changes over time due to market…
In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…