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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

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

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Evaluating Value-at-Risk Models with Desk-Level Data

Christoffersen, Peter; Berkowitz, Jeremy; Pelletier, Denis - School of Economics and Management, University of Aarhus - 2008

We present new evidence on disaggregated profit and loss (P/L) and Value-at-Risk (VaR) forecasts obtained from a large international commercial bank. Our dataset includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...

Persistent link: https://www.econbiz.de/10005037434