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Studies in Nonlinear Dynamics & Econometrics最新文献

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Score-Driven Location Plus Scale Models: Asymptotic Theory and An Application to Forecasting Dow Jones Volatility 得分驱动的位置加规模模型：渐近理论及在道琼斯波动率预测中的应用
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-06-10 DOI: 10.1515/snde-2024-0048
Szabolcs Blazsek, Alvaro Escribano, Adrian Licht
{"title":"Score-Driven Location Plus Scale Models: Asymptotic Theory and An Application to Forecasting Dow Jones Volatility","authors":"Szabolcs Blazsek, Alvaro Escribano, Adrian Licht","doi":"10.1515/snde-2024-0048","DOIUrl":"https://doi.org/10.1515/snde-2024-0048","url":null,"abstract":"","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"104 32","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-06-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141361232","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Asymptotic Efficiency of Joint Estimator Relative to Two-Stage Estimator Under Misspecified Likelihoods 联合估算器相对于两阶段估算器的渐近效率（在未指定的似然条件下
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-05-27 DOI: 10.1515/snde-2023-0009
Doosoo Kim
{"title":"Asymptotic Efficiency of Joint Estimator Relative to Two-Stage Estimator Under Misspecified Likelihoods","authors":"Doosoo Kim","doi":"10.1515/snde-2023-0009","DOIUrl":"https://doi.org/10.1515/snde-2023-0009","url":null,"abstract":"The two-stage estimator is often more tractable when there are nuisance parameters that can be separately estimated and plugged into an objective function. The joint estimator tends to bear the higher computational cost since it estimates all parameters in one stage by optimizing the sum of objective functions used in the two stages. It is well-known that the joint estimator is asymptotically more efficient than the two-stage estimator if the objective function is the true log-likelihood. When the objective function is not the true log-likelihood, I show that the relative asymptotic efficiency of the joint estimator still holds under a finite number of testable moment conditions. The implications of the main result on models based on quasi-limited information likelihoods are discussed.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"42 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141172135","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Divisia Monetary Aggregates for India 印度的 Divisia 货币总量
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-05-25 DOI: 10.1515/snde-2023-0106
Anirban Sengupta, Apostolos Serletis, Libo Xu
{"title":"Divisia Monetary Aggregates for India","authors":"Anirban Sengupta, Apostolos Serletis, Libo Xu","doi":"10.1515/snde-2023-0106","DOIUrl":"https://doi.org/10.1515/snde-2023-0106","url":null,"abstract":"In this paper, we are motivated by the fast growing literature that investigates the performance of Divisia monetary aggregates. We construct Divisia monetary aggregates for India using monthly data form January 2001 to March 2020 and present a comprehensive comparison across the Indian Divisia monetary aggregates at four levels of monetary aggregation, M1, M2, M3, and M4. We do so in the context of three classes of empirical models. In particular, we compute correlations between the cyclical components of the Divisia monetary aggregates and the cyclical component of the industrial production index. We test for Granger causality running from the Divisia monetary aggregates to industrial production. We also test for time-varying Granger causality. We find that the levels of the Divisia monetary aggregates Granger cause economic activity in India during normal times, but the causal link broke during and in the aftermath of the extremely unusual circumstances of the Covid-19 crisis.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"2013 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141146572","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Diversified Reward-Risk Parity in Portfolio Construction 投资组合构建中的多元化收益-风险对等
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-05-09 DOI: 10.1515/snde-2023-0012
Jaehyung Choi, Hyangju Kim, Young Shin Kim
{"title":"Diversified Reward-Risk Parity in Portfolio Construction","authors":"Jaehyung Choi, Hyangju Kim, Young Shin Kim","doi":"10.1515/snde-2023-0012","DOIUrl":"https://doi.org/10.1515/snde-2023-0012","url":null,"abstract":"We introduce diversified risk parity embedded with various reward-risk measures and more generic allocation rules for portfolio construction. We empirically test the proposed reward-risk parity strategies and compare their performance with an equally-weighted risk portfolio in various asset universes. The reward-risk parity strategies we tested exhibit consistent outperformance evidenced by higher average returns, Sharpe ratios, and Calmar ratios. The alternative allocations also reflect less downside risks in Value-at-Risk, conditional Value-at-Risk, and maximum drawdown. In addition to the enhanced performance and reward-risk profile, transaction costs can be reduced by lowering turnover rates. The diversified reward-risk parity allocations gain superior performance in the Carhart four-factor analysis.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"130 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140931787","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Multiscale SUR Estimation of Systematic Risk 系统风险的多尺度 SUR 估算
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-05-07 DOI: 10.1515/snde-2023-0017
Antonis A. Michis
{"title":"Multiscale SUR Estimation of Systematic Risk","authors":"Antonis A. Michis","doi":"10.1515/snde-2023-0017","DOIUrl":"https://doi.org/10.1515/snde-2023-0017","url":null,"abstract":"We propose a multiscale version of the seemingly unrelated regressions model, based on wavelet transform-based time series observations. Each regression equation refers to a different time scale, which enables the use of across-scale error covariances in the feasible GLS estimation procedure for efficiency gains. We demonstrate the advantages of the proposed method over OLS with two studies: an empirical study using stock market returns for the main US industrial sectors and a detailed Monte Carlo simulation study with alternative wavelet filters. We also provide explanations for the suitability of the proposed method for estimating long-term systematic risk.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"58 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140931781","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Time-Varying Parameter Four-Equation DSGE Model 时变参数四方程 DSGE 模型
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-05-06 DOI: 10.1515/snde-2023-0010
Rangan Gupta, Xiaojin Sun
{"title":"Time-Varying Parameter Four-Equation DSGE Model","authors":"Rangan Gupta, Xiaojin Sun","doi":"10.1515/snde-2023-0010","DOIUrl":"https://doi.org/10.1515/snde-2023-0010","url":null,"abstract":"We build the time-varying parameter feature into the (Sims, E., J. C. Wu, and J. Zhang. 2023. “The Four-Equation New Keynesian Model.” <jats:italic>The Review of Economics and Statistics</jats:italic> 105 (4): 931–47) four-equation Dynamic Stochastic General Equilibrium (DSGE) model in this paper. We find that both parameters and impulse responses of the variables in the four-equation DSGE model exhibit significant variation over time. Allowing model parameters to vary over time also improves the model’s forecasting performance.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"108 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-05-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140883981","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach WTI、VIX 和六个拉丁美洲股票市场之间的极端回报溢出：定量联系法
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-04-15 DOI: 10.1515/snde-2023-0076
Maximiliano Kruel, Paulo Sergio Ceretta
{"title":"Extreme Return Spillover Between the WTI, the VIX, and Six Latin American Stock Markets: A Quantile Connectedness Approach","authors":"Maximiliano Kruel, Paulo Sergio Ceretta","doi":"10.1515/snde-2023-0076","DOIUrl":"https://doi.org/10.1515/snde-2023-0076","url":null,"abstract":"This study examined extreme return spillovers and connectedness between crude oil (West Texas Intermediate), the Volatility Uncertainty Index (VIX), S&amp;P 500, and six Latin American stock markets, namely, Argentina, Brazil, Chile, Colombia, Mexico, and Peru, using quantile connectedness. This approach allowed for a nuanced investigation of connectedness and added to the understanding the integration between these markets. The results indicated that the S&amp;P 500 market was a full sender of spillover in the whole sample of the quantiles, when, to the contrary, the oil market was the highest receiver. The total spillovers were more intense during extreme quantiles, with swings between transmission and reception for VIX, Colombia, Mexico, and Peru. In addition, when the market turned to operate during bullish conditions, the VIX became a strong sender of spillover. Furthermore, an intense spillover was observed only in the lower and upper quantiles, and the spillover was sharper for the extreme upper quantile.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"48 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140577957","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions? 油价冲击对全球经济状况的影响与国家依赖有关吗？
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-04-10 DOI: 10.1515/snde-2023-0018
Gilles Dufrénot, William Ginn, Marc Pourroy, Adam Sullivan
{"title":"Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions?","authors":"Gilles Dufrénot, William Ginn, Marc Pourroy, Adam Sullivan","doi":"10.1515/snde-2023-0018","DOIUrl":"https://doi.org/10.1515/snde-2023-0018","url":null,"abstract":"A common thread in the literature shows that an oil price shock can have a major impact on global economic conditions. We examine the global dimensions of changes to the global oil price and world economic uncertainty using three model types: ordinary least square (OLS); general additive model (GAM); and non-linear vector autoregression (VAR) model with local projections (LP). Our study highlights a positive and statistically significant effect of oil prices on economic uncertainty during non-expansionary periods, yet the impact is negative on economic uncertainty during periods of economic growth. Using a VAR-LP we analyze the global dimensions of a world oil price shock on global economic conditions and investigate whether there is consistency in how an oil price shock influences economic growth, consumer prices and economic uncertainty based on the state of economic conditions. The empirical evidence shows that during an expansionary (a non-expansionary) period, the impact of an oil price shock lowers (elevates) economic uncertainty. The empirical evidence from the three model types taken together indicate a presence of state dependence on the influence of an oil price shock.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"62 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140577991","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bayesian Flexible Local Projections 贝叶斯灵活局部预测
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-04-04 DOI: 10.1515/snde-2023-0001
Luca Brugnolini, Leopoldo Catania, Pernille Hansen, Paolo Santucci de Magistris
{"title":"Bayesian Flexible Local Projections","authors":"Luca Brugnolini, Leopoldo Catania, Pernille Hansen, Paolo Santucci de Magistris","doi":"10.1515/snde-2023-0001","DOIUrl":"https://doi.org/10.1515/snde-2023-0001","url":null,"abstract":"We develop a methodology to estimate impulse response functions via Bayesian techniques with the goal of providing a bridge between a linear vector autoregressive specification and a high-order polynomial local projection, namely flexible local projection. We label this methodology Bayesian Flexible Local Projection (BFLP). We assess the properties of BFLP in a Monte Carlo framework considering both linear and non-linear models as data generating processes. We also empirically illustrate how BFLP can be used with standard identification strategies. In particular, we show how to use external instruments to identify the effects of the monetary policy shock in the United States. Furthermore, exploiting the time-varying nature of the impulse response functions based on BFLP, we assess the zero lower bound irrelevance hypothesis and find no strong evidence that monetary policy was less effective in influencing output and inflation during the recent ZLB period.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"263 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140577954","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models 随机波动跳跃-扩散模型最大似然估计器的模拟与实证研究
Studies in Nonlinear Dynamics & Econometrics Pub Date : 2024-03-29 DOI: 10.1515/snde-2023-0028
Jean-François Bégin, Mathieu Boudreault
{"title":"A Simulation and Empirical Study of the Maximum Likelihood Estimator for Stochastic Volatility Jump-Diffusion Models","authors":"Jean-François Bégin, Mathieu Boudreault","doi":"10.1515/snde-2023-0028","DOIUrl":"https://doi.org/10.1515/snde-2023-0028","url":null,"abstract":"We investigate the behaviour of the maximum likelihood estimator (MLE) for stochastic volatility jump-diffusion models commonly used in financial risk management. A simulation study shows the practical conditions under which the MLE behaves according to theory. In an extensive empirical study based on nine indices and more than 6000 individual stocks, we nonetheless find that the MLE is unable to replicate key higher moments. We then introduce a moment-targeted MLE – robust to model misspecification – and revisit both simulation and empirical studies. We find it performs better than the MLE, improving the management of financial risk.","PeriodicalId":501448,"journal":{"name":"Studies in Nonlinear Dynamics & Econometrics","volume":"62 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140578173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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