Matches in SemOpenAlex for { <https://semopenalex.org/work/W2747089346> ?p ?o ?g. }
- W2747089346 abstract "As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assumptions on how prices change over time. Most volatility models impose a particular parametric functional form that relates an observed price change to a volatility forecast (news impact function). We propose a new class of functional coefficient semiparametric volatility models where the news impact function is allowed to be any smooth function, and study its ability to estimate volatilities compared to the well known parametric proposals, in both a simulation study and an empirical study with real financial data. We estimate the news impact function using a Bayesian model averaging approach, implemented via a carefully developed Markov chain Monte Carlo (MCMC) sampling algorithm. Using simulations we show that our flexible semiparametric model is able to learn the shape of the news impact function from the observed data. When applied to real financial time series, our new model suggests that the news impact functions are significantly different in shapes for different asset types, but are similar for the assets of the same type." @default.
- W2747089346 created "2017-08-31" @default.
- W2747089346 creator A5040852561 @default.
- W2747089346 creator A5063689373 @default.
- W2747089346 date "2017-08-25" @default.
- W2747089346 modified "2023-09-27" @default.
- W2747089346 title "Semiparametric GARCH via Bayesian model averaging" @default.
- W2747089346 cites W111846816 @default.
- W2747089346 cites W1490692714 @default.
- W2747089346 cites W1603353793 @default.
- W2747089346 cites W1829356178 @default.
- W2747089346 cites W1972079618 @default.
- W2747089346 cites W1975701367 @default.
- W2747089346 cites W1979575715 @default.
- W2747089346 cites W1982288993 @default.
- W2747089346 cites W1993447437 @default.
- W2747089346 cites W1993924506 @default.
- W2747089346 cites W1999029409 @default.
- W2747089346 cites W1999814123 @default.
- W2747089346 cites W1999974018 @default.
- W2747089346 cites W1999996900 @default.
- W2747089346 cites W2001288954 @default.
- W2747089346 cites W2005908614 @default.
- W2747089346 cites W2006582998 @default.
- W2747089346 cites W2007069447 @default.
- W2747089346 cites W2013109882 @default.
- W2747089346 cites W2015558203 @default.
- W2747089346 cites W2024726293 @default.
- W2747089346 cites W2025728097 @default.
- W2747089346 cites W2035035907 @default.
- W2747089346 cites W2047554048 @default.
- W2747089346 cites W2055193196 @default.
- W2747089346 cites W2057690389 @default.
- W2747089346 cites W2057765075 @default.
- W2747089346 cites W2058772015 @default.
- W2747089346 cites W2058815839 @default.
- W2747089346 cites W2061160212 @default.
- W2747089346 cites W2062313833 @default.
- W2747089346 cites W2069317099 @default.
- W2747089346 cites W2077364631 @default.
- W2747089346 cites W2081845631 @default.
- W2747089346 cites W2084680378 @default.
- W2747089346 cites W2106706098 @default.
- W2747089346 cites W2110442235 @default.
- W2747089346 cites W2112339981 @default.
- W2747089346 cites W2113037782 @default.
- W2747089346 cites W2124823571 @default.
- W2747089346 cites W2128569377 @default.
- W2747089346 cites W2133543800 @default.
- W2747089346 cites W2136796925 @default.
- W2747089346 cites W2140585983 @default.
- W2747089346 cites W2162870748 @default.
- W2747089346 cites W2166624680 @default.
- W2747089346 cites W2169031796 @default.
- W2747089346 cites W2324473035 @default.
- W2747089346 cites W2328382783 @default.
- W2747089346 cites W2334280011 @default.
- W2747089346 cites W3000312518 @default.
- W2747089346 cites W3123118666 @default.
- W2747089346 cites W3123501776 @default.
- W2747089346 cites W3124527974 @default.
- W2747089346 cites W3124938631 @default.
- W2747089346 cites W3125412410 @default.
- W2747089346 cites W3126042383 @default.
- W2747089346 cites W616969809 @default.
- W2747089346 hasPublicationYear "2017" @default.
- W2747089346 type Work @default.
- W2747089346 sameAs 2747089346 @default.
- W2747089346 citedByCount "0" @default.
- W2747089346 crossrefType "posted-content" @default.
- W2747089346 hasAuthorship W2747089346A5040852561 @default.
- W2747089346 hasAuthorship W2747089346A5063689373 @default.
- W2747089346 hasConcept C102366305 @default.
- W2747089346 hasConcept C105795698 @default.
- W2747089346 hasConcept C107673813 @default.
- W2747089346 hasConcept C111350023 @default.
- W2747089346 hasConcept C117251300 @default.
- W2747089346 hasConcept C119857082 @default.
- W2747089346 hasConcept C149782125 @default.
- W2747089346 hasConcept C154945302 @default.
- W2747089346 hasConcept C160234255 @default.
- W2747089346 hasConcept C162324750 @default.
- W2747089346 hasConcept C23922673 @default.
- W2747089346 hasConcept C24574437 @default.
- W2747089346 hasConcept C33923547 @default.
- W2747089346 hasConcept C41008148 @default.
- W2747089346 hasConcept C78297888 @default.
- W2747089346 hasConcept C85393063 @default.
- W2747089346 hasConcept C91602232 @default.
- W2747089346 hasConcept C98763669 @default.
- W2747089346 hasConceptScore W2747089346C102366305 @default.
- W2747089346 hasConceptScore W2747089346C105795698 @default.
- W2747089346 hasConceptScore W2747089346C107673813 @default.
- W2747089346 hasConceptScore W2747089346C111350023 @default.
- W2747089346 hasConceptScore W2747089346C117251300 @default.
- W2747089346 hasConceptScore W2747089346C119857082 @default.
- W2747089346 hasConceptScore W2747089346C149782125 @default.
- W2747089346 hasConceptScore W2747089346C154945302 @default.
- W2747089346 hasConceptScore W2747089346C160234255 @default.
- W2747089346 hasConceptScore W2747089346C162324750 @default.