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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
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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
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Global Business Cycles and Credit Risk
Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - CESifo - 2005
The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with each other and the degree of dependence individual firms have to the different types of risk factors. Using a global vector autoregressive...
Persistent link: https://www.econbiz.de/10005765811
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Macroeconomic Dynamics and Credit Risk: A Global Perspective
Schuermann, Til; Treutler, Björn-Jakob; Weiner, Scott M.; … - CESifo - 2003
We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model, allowing macro effects to be isolated from idiosyncratic shocks. Default...
Persistent link: https://www.econbiz.de/10005766168