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VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...

Persistent link: https://www.econbiz.de/10010731676

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

-Exponential Conditional Correlation (MECC) model. The paper applies the WDCC approach to the exponential GARCH (EGARCH) and GJR models to …

Persistent link: https://www.econbiz.de/10010732622

Do We Often Find ARCH Because Of Neglected Outliers?

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 1997

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily and weekly … data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a new … result is that we find spurious GARCH in over 50% of the cases. Using Monte Carlo simulations, in which we evaluate our …

Persistent link: https://www.econbiz.de/10010837745

Structure and Asymptotic theory for Nonlinear Models with GARCH Errors

McAleer, Michael; Chan, Chan, F.; Medeiros, Medeiros, M.C. - Faculteit der Economische Wetenschappen, Erasmus … - 2011

- Maximum Likelihood Estimator for a general nonlinear conditional mean model with first-order GARCH errors. …

Persistent link: https://www.econbiz.de/10010837896

How Volatile is ENSO?

McAleer, Michael; Chu, Chu, L.; Chen, Chen, C-C. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

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

Persistent link: https://www.econbiz.de/10010837928

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

McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731585

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles; Mahieu, Ronald; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

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

Persistent link: https://www.econbiz.de/10010731646

Daily exchange rate behaviour and hedging of currency risk

Bos, Charles; Mahieu, Ronald; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2000

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

Persistent link: https://www.econbiz.de/10010731772

A simple test for GARCH against a stochastic volatility

Franses, Philip Hans; Paap, Richard; van der Leij, van … - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731781

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

Bauwens, Luc; Bos, Charles; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 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/10010731811