Zobrazeno 1 - 10
of 87
pro vyhledávání: '"Bernd Wilfling"'
Publikováno v:
International Journal of Forecasting.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::27c9f5d5ba43e26a93c28879ca9910c2
https://doi.org/10.1016/j.ijforecast.2022.11.007
https://doi.org/10.1016/j.ijforecast.2022.11.007
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 26:73-98
We analyze Australian electricity price returns and find that they exhibit volatility clustering, long memory, structural breaks, and multifractality. Consequently, we let the return mean equation follow two alternative specifications, namely (i) a s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b7d06a7ffcb58593fef800c1215ee2ca
https://doi.org/10.1515/snde-2019-0009
https://doi.org/10.1515/snde-2019-0009
Autor:
Verena Monschang, Bernd Wilfling
Publikováno v:
Empirical Economics. 61:145-172
In this paper, we analyze the capacity of supremum augmented Dickey–Fuller (SADF), generalized SADF (GSADF), and of several heteroscedasticity-adjusted sup-ADF-style tests for detecting and date-stamping financial bubbles. Our Monte Carlo simulatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fc8b93662be82b6e2c10f4093e99ddf5
https://doi.org/10.1007/s00181-020-01859-7
https://doi.org/10.1007/s00181-020-01859-7
Publikováno v:
Econometrics, Vol 6, Iss 2, p 23 (2018)
There is substantial evidence that inflation rates are characterized by long memory and nonlinearities. In this paper, we introduce a long-memory Smooth Transition AutoRegressive Fractionally Integrated Moving Average-Markov Switching Multifractal sp
Externí odkaz:
https://doaj.org/article/153ddf25f68240b3965ee0d04981b89c
Autor:
Bernd Wilfling, Till Weigt
We consider a situation in which the forecaster has available M individual forecasts of a univariate target variable. We propose a 3‐step procedure designed to exploit the interrelationships among the M forecast‐error series (estimated from a lar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f85e466dc0aa7649a52183bac4ed9783
https://hdl.handle.net/10419/233668
https://hdl.handle.net/10419/233668
Publikováno v:
Econometric Reviews, 39(9), 947-970. Taylor & Francis Ltd
In this article, we establish a Cholesky-type multivariate stochastic volatility estimation framework, in which we let the innovation vector follow a Dirichlet process mixture (DPM), thus enabling ...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::031b1a0fc3e5fe574f92e7eb2efce7a5
https://pure.eur.nl/en/publications/d4841a34-a105-4b38-a624-694ccfcbcf68
https://pure.eur.nl/en/publications/d4841a34-a105-4b38-a624-694ccfcbcf68
Publikováno v:
Economic Modelling. 58:159-166
In this paper, we focus on the impact of short selling restrictions on stock returns volatility. In order to assess the potential effects econometrically, we apply two distinct versions of an asymmetric Markov-switching GARCH model to the short selli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::99226c58bb2daf2585449255361f33e5
https://doi.org/10.1016/j.econmod.2016.05.025
https://doi.org/10.1016/j.econmod.2016.05.025
Publikováno v:
Journal of Futures Markets. 36:30-45
This study challenges the existing literature examining the impact of the introduction of index futures trading on the volatility of its underlying. To overcome econometric shortcomings of previously published work using the dummy variable approach,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a1cd9ea31eb6f548f4dcb17035275863
https://doi.org/10.1002/fut.21723
https://doi.org/10.1002/fut.21723
Autor:
Gerrit Reher, Bernd Wilfling
Publikováno v:
Quantitative Finance. 16:411-426
In this paper, we establish a generalized two-regime Markov-switching GARCH model which enables us to specify complex (symmetric and asymmetric) GARCH equations that may differ considerably in their functional forms across the two Markov regimes. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1f900c4f2afcfffd52cd2a4eb968ef57
https://doi.org/10.1080/14697688.2015.1015599
https://doi.org/10.1080/14697688.2015.1015599
Autor:
Benedikt Rotermann, Bernd Wilfling
We propose a new, rational stock-price bubble that is able to generate recurringly explosive and stochastically deflating trajectories. Our flexible bubble process entails stock-price volatility dynamics that are consistent with real-world data. To d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::105d2416b3a4d8c6363bfdc1393bf13b
https://hdl.handle.net/10419/168210
https://hdl.handle.net/10419/168210