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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
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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … documented, which motivates the use of a flexible and robust methodology such as the Realized GARCH. Within this framework …-of-sample results for the Realized GARCH forecasts suggest a limited added value from using “traditional” realized volatility measures …
Persistent link: https://www.econbiz.de/10010945126
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Factor Structure in Commodity Futures Return and Volatility
Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...
Persistent link: https://www.econbiz.de/10010892067
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Structure and Asymptotic theory for Nonlinear Models with GARCH Errors
Chan, F.; McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2011
- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …
Persistent link: https://www.econbiz.de/10008800914