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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, L.; Bos, C.S.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999

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

Daily exchange rate behaviour and hedging of currency risk

Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 2000

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance …

Persistent link: https://www.econbiz.de/10008570624

Daily exchange rate behaviour and hedging of currency risk

Bos, C.S.; Mahieu, R.J.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 1999

Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

Persistent link: https://www.econbiz.de/10008584714

It Pays to Violate: How Effective are the Basel Accord Penalties?

Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

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

The ten commandments for optimizing value-at-risk and daily capital charges

McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2008

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

Risk management of precious metals

Hammoudeh, S.M.; Malik, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010

compute the VaR for major precious metals using the calibrated RiskMetrics, different GARCH models, and the semi …

Persistent link: https://www.econbiz.de/10008484085

Measuring volatility with the realized range

Martens, M.P.E.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2006

Realized variance, being the summation of squared intra-day returns, has quickly gained popularity as a measure of daily volatility. Following Parkinson (1980) we replace each squared intra-day return by the high-low range for that period to create a novel and more efficient estimator called the...

Persistent link: https://www.econbiz.de/10004972248

How Volatile is ENSO?

Chu, L.F.; McAleer, M.J.; Chen, C-C. - Erasmus University Rotterdam, Econometric Institute - 2009

both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …

Persistent link: https://www.econbiz.de/10005034225

A simple test for GARCH against a stochastic volatility

Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved … volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and … which can be used to test GARCH against SV. We discuss model representation, parameter estimation and a simple test for …

Persistent link: https://www.econbiz.de/10005696115

Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan

Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

Persistent link: https://www.econbiz.de/10008570643