Acceso al sitio web del Consejo de Políticas de Infraestructura

   
Redirigiendo al acceso original de articulo en 22 segundos...
ARTÍCULO
TITULO

A note on stochastic volatility model estimation

Omar Abbara    
Mauricio Zevallos    

Resumen

The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considering several distributions for the perturbations in the observation equation. Second, the method is assessed empirically, through backtesting evaluation of VaR forecasts of the S&P 500 time series returns. In both analyses, the paper also evaluates the convenience of using the Fuller transformation.

PÁGINAS
pp. 22 - 32
MATERIAS
ECONOMÍA

 Artículos similares

       
 
Saeed Samadianfard, Salar Jarhan, Ely Salwana, Amir Mosavi, Shahaboddin Shamshirband and Shatirah Akib    
Advancement in river flow prediction systems can greatly empower the operational river management to make better decisions, practices, and policies. Machine learning methods recently have shown promising results in building accurate models for river flow... ver más
Revista: Water

 
Guangyu Jiang and Zhongjing Wang    
Water cycles exist in all processes of water resources utilization, including water-saving irrigation. Due to the complex water cycle process of irrigation, the ecological effects and safety of large-scale water-saving irrigation have received increasing... ver más
Revista: Water

 
Huaxiang He, Aiqi Chen, Mingwan Yin, Zhenzhen Ma, Jinjun You, Xinmin Xie, Zhizhang Wang and Qiang An    
The rational allocation of water resources in the basin/region can be better assisted and performed using a suitable water resources allocation model. Rule-based and optimization-based simulation methods are utilized to solve medium- and long-term water ... ver más
Revista: Water

 
Mirela Cristea,Gratiela Georgiana Noja,Yannis Thalassinos    
The research aims to identify several dissimilarities between the European Union Member States (EU-27 MS) in terms of welfare and labour market dimensions under the sheer implications of the ageing phenomenon. The quantitative research methodology emphas... ver más

 
Muhammad Abi Berkah Nadi, Sayed Ahmad Fauzan     Pág. 1 - 9
Recovery efforts following a disaster can be slow and painstaking work, and potentially put responders in harm's way. A system which helps identify defects in critical building elements (e.g., concrete columns) before responders must enter a structure ca... ver más