相关论文: The Dynamic Persistence of Economic Shocks

This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…

We explore a stochastic model that enables capturing external influences in two specific ways. The model allows for the expression of uncertainty in the parametrisation of the stochastic dynamics and incorporates patterns to account for…

In this study, we propose a general model capable of addressing heterogeneity in higher-order moments while preserving mean and variance, including the t, Laplace, and skew-normal distributions as special cases. Our model flexibly…

We explore the evolution of daily returns of four major US stock market indices during the technology crash of 2000, and the financial crisis of 2007-2009. Our methodology is based on topological data analysis (TDA). We use persistence…

This paper presents a novel dynamic network autoregressive conditional heteroscedasticity (ARCH) model based on spatiotemporal ARCH models to forecast volatility in the US stock market. To improve the forecasting accuracy, the model…

Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…

Recent studies have actively employed persistent homology (PH), a topological data analysis technique, to analyze the topological information in time series data. Many successful studies have utilized graph representations of time series…

We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…

This paper introduces a global stock market volatility forecasting model that enhances forecasting accuracy and practical utility in real-world financial decision-making by integrating dynamic graph structures and encompassing all active…

This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…

We present a relatively detailed analysis of the persistence probability distributions in financial dynamics. Compared with the auto-correlation function, the persistence probability distributions describe dynamic correlations non-local in…

This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks…

The statistical description and modeling of volatility plays a prominent role in econometrics, risk management and finance. GARCH and stochastic volatility models have been extensively studied and are routinely fitted to market data, albeit…

We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this model, the conditional variance of each…

This paper captures irregularities in financial time series data, particularly stock prices, in the presence of COVID-19 shock. We conjectured that jumps and irregularities are embedded in stock data due to the pandemic shock, which brings…

Financial markets tend to switch between various market regimes over time, making stationarity-based models unsustainable. We construct a regime-switching model independent of asset classes for risk-adjusted return predictions based on…

We exploit a continuous time random walk description of stock prices to obtain a fast and accurate evaluation of their volatility from intraday data. We show that financial markets are usefully described as open physical systems. Indeed we…

This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…

Topological data analysis is an emerging area in exploratory data analysis and data mining. Its main tool, persistent homology, has become a popular technique to study the structure of complex, high-dimensional data. In this paper, we…

We introduce a dynamic distribution regression panel data model with heterogeneous coefficients across units. The objects of primary interest are functionals of these coefficients, including predicted one-step-ahead and stationary…