Econometric Time Series
http://lists.repec.org/mailman/listinfo/nep-ets
Econometric Time Series2015-01-26Yong YinNonparametric Estimates for Conditional Quantiles of Time Series
http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2014-012&r=ets
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function, and we prove its asymptotic normality and uni- form strong consistency. The performance of the estimate for light and heavy-tailed distributions of the innovations are evaluated by a simulation study. Finally, the technique is applied to estimate VaR of stocks in DAX, and its performance is compared with the existing standard methods using backtesting.Jürgen Franke, Peter Mwita, Weining Wang, 2014-01conditional quantile, kernel estimate, quantile autoregression, time series, uniform consistency, value-at-riskWeak diffusion limits of dynamic conditional correlation models
http://d.repec.org/n?u=RePEc:aah:create:2015-03&r=ets
The properties of dynamic conditional correlation (DCC) models are still not entirely understood. This paper fills one of the gaps by deriving weak diffusion limits of a modified version of the classical DCC model. The limiting system of stochastic differential equations is characterized by a diffusion matrix of reduced rank. The degeneracy is due to perfect collinearity between the innovations of the volatility and correlation dynamics. For the special case of constant conditional correlations, a non-degenerate diffusion limit can be obtained. Alternative sets of conditions are considered for the rate of convergence of the parameters, obtaining time-varying but deterministic variances and/or correlations. A Monte Carlo experiment confirms that the quasi approximate maximum likelihood (QAML) method to estimate the diffusion parameters is inconsistent for any fixed frequency, but that it may provide reasonable approximations for sufficiently large frequencies and sample sizes.Christian M. Hafner, Sebastien Laurent, Francesco Violante2015-01-14cDCC, Weak diffusion limits, QAML, CCC, GARCH diffusion