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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

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

statistically significant difference in their performance. The top performers are conditional extreme value GARCH model, models …

Persistent link: https://www.econbiz.de/10010586077

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10008572519

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

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