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Loss Functions in Option Valuation: A Framework for Model Selection
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2005
In this paper, we investigate the importance of different loss functions when estimating and evaluating option pricing models. Our analysis shows that it is important to take into account parameter uncertainty, since this leads to uncertainty in the predicted option price. We illustrate the...
Persistent link: https://www.econbiz.de/10005791774
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An Evaluation Framework for Alternative VaR Models
Bams, Dennis; Lehnert, Thorsten; Wolff, Christian C - C.E.P.R. Discussion Papers - 2002
case of the GARCH(1,1)-Student-t model the average VaR may be adjusted for parameter uncertainty to arrive at levels which …
Persistent link: https://www.econbiz.de/10005123557
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Macroeconomic Sources of FOREX Risk
Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 2002
and the macro factors satisfies the no-arbitrage assumption, and is a suitably restricted version of multivariate GARCH …
Persistent link: https://www.econbiz.de/10005661706