Generalized Autoregressive Score Models in R: The GAS Package

Autor: David Ardia, Kris Boudt, Leopoldo Catania

Publikováno v: Journal of Statistical Software, Vol 88, Iss 1, Pp 1-28 (2019)

This paper presents the R package GAS for the analysis of time series under the generalized autoregressive score (GAS) framework of Creal, Koopman, and Lucas (2013) and Harvey (2013). The distinctive feature of the GAS approach is the use of the scor

Externí odkaz: https://doaj.org/article/23b3879791c8409985c8381f0c8c60c3

Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings

Autor: Federico Belotti, Alessandro Casini, Leopoldo Catania, Stefano Grassi, Pierre Perron

Publikováno v: Belotti, F, Casini, A, Catania, L, Grassi, S & Perron, P 2023, ' Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings ', Econometric Reviews, vol. 42, no. 3, pp. 281-306 . https://doi.org/10.1080/07474938.2023.2178138
Web of Science

We consider the derivation of data-dependent simultaneous bandwidths for double kernel heteroskedasticity and autocorrelation consistent (DK-HAC) estimators. In addition to the usual smoothing over lagged autocovariances for classical HAC estimators,

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6608fc8452eded211aec0ca5a5e02a80
https://pure.au.dk/portal/da/publications/simultaneous-bandwidths-determination-for-dkhac-estimators-and-longrun-variance-estimation-in-nonparametric-settings(62167145-eafe-45d3-a143-6fd54052fb11).html

Semiparametric Modeling of Multiple Quantiles

Autor: Leopoldo Catania, Alessandra Luati

Publikováno v: Catania, L & Luati, A 2022, ' Semiparametric Modeling of Multiple Quantiles ', Journal of Econometrics . < http://ssrn.com/abstract=3494995 >
Aarhus University

We develop a semiparametric model to track a large number of quantiles of a time series. The model satisfies the condition of non crossing quantiles and the defining property of fixed quantiles. A key feature of the specification is that the updating

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af21db699194fddda7e81163ccb0ee7f
https://pure.au.dk/portal/da/publications/semiparametric-modeling-of-multiple-quantiles(2100d042-f843-4143-a818-53e8dd416f38).html

Dynamic Adaptive Mixture Models with an Application to Volatility and Risk

Autor: Leopoldo Catania

Publikováno v: Catania, L 2021, ' Dynamic Adaptive Mixture Models with an Application to Volatility and Risk ', Journal of Financial Econometrics, vol. 19, no. 4, pp. 531-564 . https://doi.org/10.1093/jjfinec/nbz018

In this paper we propose a new class of dynamic mixture models (DAMMs) being able to sequentially adapt the mixture components as well as the mixture composition using information coming from the data. The information driven nature of the proposed cl

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ede387f36c8a7b29a3219e38b38c30bf
https://pure.au.dk/ws/files/309539251/Catania_JFE_2021_AM.pdf

Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall

Autor: Alessandra Luati, Leopoldo Catania

Publikováno v: Catania, L & Luati, A 2021, ' Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall ', Econometrics and Statistics . https://doi.org/10.1016/j.ecosta.2021.08.003

Quasi maximum likelihood estimation of Value at Risk (VaR) and Expected Shortfall (ES) is discussed. The reference likelihood is that of a location-scale asymmetric Laplace distribution, related to a family of loss functions that lead to strictly con

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7367c18d1df605a4be0b1aabc3dfc64e
http://hdl.handle.net/11585/831379