6 papers · 1 filter
Split-Session Cluster GARCH for Overnight and Intraday Returns: The Role of Tail Heterogeneity
Xinxian Chen, Peter Reinhard Hansen, Chen Tong
We propose the Split-Session Cluster GARCH model for heavy-tailed multivariate dependence among asset returns decomposed into overnight and intraday components. The model uses conv…
Moments by Integrating the Moment-Generating Function
Peter Reinhard Hansen, Chen Tong
We introduce a general integral framework for computing fractional, complex, absolute, and logarithmic moments from the moment-generating function (MGF) under explicit regularity c…
Exact Likelihood Inference and Robust Filtering for Gauss-Cauchy Convolution Models
Peter Reinhard Hansen, Chen Tong
The convolution of a Gaussian and a Cauchy distribution, known as the Voigt distribution, is widely used in spectroscopy and provides a natural framework for modeling heavy-tailed…
Principled Identification of Structural Dynamic Models
Neville Francis, Peter Reinhard Hansen, Chen Tong
We take a new perspective on identification in structural dynamic models: rather than imposing restrictions alone, we optimize an objective. While definitive structural identificat…
Dynamic Factor Correlation Model
Chen Tong, Peter Reinhard Hansen
We introduce a new dynamic factor correlation model with a novel variation-free parametrization of factor loadings. The model is applicable to high dimensions and can accommodate t…
Cluster GARCH
Chen Tong, Peter Reinhard Hansen, Ilya Archakov
We introduce a novel multivariate GARCH model with flexible convolution-t distributions that is applicable in high-dimensional systems. The model is called Cluster GARCH because it…