Showing 1 - 10 of 52
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005051715
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10008484079
methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …
Persistent link: https://www.econbiz.de/10008570624
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10008584714
Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...
Persistent link: https://www.econbiz.de/10005056578
compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi …
Persistent link: https://www.econbiz.de/10008484085
The availability of intra-data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we derive the moments and the asymptotic distribution of...
Persistent link: https://www.econbiz.de/10005812268
In this paper we review some recent work on limit results on realised power variation, that is sums of powers of absolute increments of various semimartingales. A special case of this analysis is realised variance and its probability limit, quadratic variation. Such quantities often appear in...
Persistent link: https://www.econbiz.de/10005730325
In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...
Persistent link: https://www.econbiz.de/10005730345
We use high frequency financial data to proxy, via the realised variance, each day's financial variability. Based on a semiparametric stochastic volatility process, a limit theory shows you can represent the proxy as a true underlying variability plus some measurement noise with known...
Persistent link: https://www.econbiz.de/10005730364