We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on t...

This paper investigates a general-equilibrium asset pricing model of the term structure of nominal interest rates. In a pure exchange economy with incomplete information, investors are unable to observe the expected growth rates of both exogenous real output and money supply and, therefore, engage in dynamic Bayesian inference. The dependence of term premia on beliefs allows the model to introd...

This paper shows that volatility persistence in GARCH models and spurious long memory in autoregressive models may arise if the possibility of structural changes is not incorporated in the time series model. It also describes a tractable hidden Markov model in which regression parameters and error variances may undergo abrupt changes at unknown time points, while staying constant between adjace...

A multivariate extension of the exponential continuous time GARCH(p, q) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated and ways to model a component-wise leverage effect are presented. AMS Subject Classification 2000: Primary: 60G51; 60H10 Secondary: 91B72; 91B84

abstract oil export revenues have a major share in both iranian government incomes and gross domestic product (gdp). with regard to the importance of agricultural sector in economic growth, rural development and rural welfare improvement, this sector indubitably influenced by temporary and unexpected shocks in oil export. therefore we employed feder(1982) and auto-regressive distributed lag (ar...

Bank of Canada working papers are theoretical or empirical works-in-progress on subjects in economics and finance. The views expressed in this paper are those of the authors. No responsibility for them should be attributed to the Bank of Canada. ii Acknowledgements We thank Scott Hendry, Kenneth Judd and Wally Speckert for very helpful conversations. We thank seminar participants at the EC 2 Co...

We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatilities on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights. The processes have 2 parameters (linear processes) or 4 parameters (affine processes). In the limit where ...

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns. In this financial analysis, both these components are modeled as a GARCH. We compare GDFM+GARCH and ...

A new multivariate heavy-tailed distribution is proposed as an extension of the univariate distribution of Politis (2004). The properties of the new distribution are discussed, as well as its effectiveness in modeling ARCH/GARCH residuals. A practical procedure for multiparameter numerical maximum likelihood is also given, and a real data example is worked out. JEL codes: C3; C5.