2019 September - 13 articles
We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the nat...
In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange—Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit str...
It is often reported in the forecast combination literature that a simple average of candidate forecasts is more robust than sophisticated combining methods. This phenomenon is usually referred to as the “forecast combination puzzle”. Mot...
To avoid the risk of misspecification between homoscedastic and heteroscedastic models, we propose a combination method based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal weights fo...
Researchers are often faced with the challenge of developing statistical models with incomplete data. Exacerbating this situation is the possibility that either the researcher’s complete-data model or the model of the missing-data mechanism is...
This paper re-examines the instrumental variable (IV) approach to estimating returns to education by use of compulsory school law (CSL) in the US. We show that the IV-approach amounts to a change in model specification by changing the causal status o...
This paper introduces an estimation procedure for a random effects probit model in presence of heteroskedasticity and a likelihood ratio test for homoskedasticity. The cases where the heteroskedasticity is due to individual effects or idiosyncratic e...
This paper gives a computer-intensive approach to multi-step-ahead prediction of volatility in financial returns series under an ARCH/GARCH model and also under a model-free setting, namely employing the NoVaS transformation. Our model-based approach...
We compare the finite sample performance of a number of Bayesian and classical procedures for limited information simultaneous equations models with weak instruments by a Monte Carlo study. We consider Bayesian approaches developed by Chao and Philli...
Most empirical work in the social sciences is based on observational data that are often both incomplete, and therefore unrepresentative of the population of interest, and affected by measurement errors. These problems are very well known in the lite...
This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel data. Within the scope of a fully parametric two-step approach, the alternating application of two expectation-maximization algorith...
In forecasting count processes, practitioners often ignore the discreteness of counts and compute forecasts based on Gaussian approximations instead. For both central and non-central point forecasts, and for various types of count processes, the perf...
This paper deals with instability in regression coefficients. We propose a Bayesian regression model with time-varying coefficients (TVC) that allows to jointly estimate the degree of instability and the time-path of the coefficients. Thanks to the c...
