Similar Search Results

A note on stochastic volatility, GARCH models, and hyperbolic distributions

Jaschke, Stefan R. - 1997

We establish a relation between stochastic volatility models and the class of generalized hyperbolic distributions. These distributions have been found to fit exceptionally well to the empirical distribution of stock returns. We review the background of hyperbolic distributions and prove...

Persistent link: https://www.econbiz.de/10009577459

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Persistent link: https://www.econbiz.de/10009579185

Coherent risk measures, valuation bounds, and (my,p)-portfolio optimization

Jaschke, Stefan R.; Küchler, Uwe - 1999

This paper presents a general theory that works out the relation between coherent risk measures, valuation bounds, and … theory presented seems to fill a gap between arbitrage valuation on the one hand and single agent utility maximization or … full-fledged equilibrium theory on the other hand. "Coherent" valuation bounds strike a balance in that the bounds can be …

Persistent link: https://www.econbiz.de/10009581108

Web quantlets for time series analysis

Härdle, Wolfgang; Kleinow, Torsten; Tschernig, Rolf - 2000

Newly developed and advanced methods for nonlinear time series analysis are in general not available in standard software packages. Moreover, their implementation requires substantial time, computing power as well as programming skills. The recent results on lag and bandwidth selection methods...

Persistent link: https://www.econbiz.de/10009582397

Computational resources for extremes

Kleinow, Torsten; Thomas, Michael - 1999

The necessity to quantify the risk caused by the high volatility of asset prices, large insurance claims or floods has lead to an increasing interest in extreme value analysis. Generalized Pareto and extreme value distributions are well suited to model data which are exceedances above a...

Persistent link: https://www.econbiz.de/10009582413

An empirical likelihood goodness-of-fit test for time series

Chen, Song Xi; Härdle, Wolfgang; Kleinow, Torsten - 2000

The testing of a computing model for a stationary time series is a standard task in statistics. When a parametric approach is used to model the time series, the question of goodness-of-fit arises. In this paper, we employ the empirical likelihood for an a-mixing process and formulate a statistic...

Persistent link: https://www.econbiz.de/10009612573

Semiparametric diffusion estimation and application to a stock market index

Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001

The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...

Persistent link: https://www.econbiz.de/10009613611

Quantile-VaR is the wrong measure to quantify market risk for regulatory purposes

Jaschke, Stefan R. - 2001

Starting from the objective of banking supervision - to minimize the overall costs of banking to the general public - we show that the current standard of quantifying market risk is flawed. It is perfectly aligned with the interests of banks' shareholders and management, but not with the...

Persistent link: https://www.econbiz.de/10009614286

The Cornish-Fisher-Expansion in the context of Delta - Gamma - Normal approximations

Jaschke, Stefan R. - 2001

Qualitative and quantitative properties of the Cornish-Fisher-Expansion in the context of Delta-Gamma-Normal approaches to the computation of Value at Risk are presented. Some qualitative deficiencies of the Cornish-Fisher-Expansion - the monotonicity of the distribution function as well as...

Persistent link: https://www.econbiz.de/10009614287