Publication:
Automated financial multi-path GETS modelling

Simple item page
dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorSucarrat, Genaro
dc.contributor.authorEscribano, Álvaro
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Economía
dc.date.accessioned2009-07-17T08:57:03Z
dc.date.available2009-07-17T08:57:03Z
dc.date.issued2009-07
dc.description.abstractGeneral-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path GETS modelling in finance. We provide a result with associated methods that overcome many of the problems, and develop a simple but general and flexible algorithm that automates financial multi-path GETS modelling. Starting from a general model where the mean specification can contain autoregressive (AR) terms and explanatory variables, and where the exponential variance specification can include log-ARCH terms, log-GARCH terms, asymmetry terms, Bernoulli jumps and other explanatory variables, the algorithm we propose returns parsimonious mean and variance specifications, and a fat-tailed distribution of the standardised error if normality is rejected. The finite sample properties of the methods and of the algorithm are studied by means of extensive Monte Carlo simulations, and two empirical applications suggest the methods and algorithm are very useful in practice.
dc.format.mimetypeapplication/pdf
dc.identifier.issn2340-5031
dc.identifier.repecwe093620
dc.identifier.urihttps://hdl.handle.net/10016/4842
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working papers. Economics
dc.relation.ispartofseries09-36
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEconomía
dc.subject.jelC32
dc.subject.jelC51
dc.subject.jelC52
dc.subject.jelC53
dc.subject.jelE44
dc.subject.jelE47
dc.subject.jelG17
dc.subject.otherGeneral-to-specfic Modelling
dc.subject.otherFinance
dc.subject.otherVolatility
dc.subject.otherValue-at-risk
dc.titleAutomated financial multi-path GETS modelling
dc.typeworking paper*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
09-36-20.pdf
Size:
407.09 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
DE - Working Papers. Economics. WE
Economists Online