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The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility …
Persistent link: https://www.econbiz.de/10010986437
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The Volatility of Realized Volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latent–variable approaches, such as GARCH and stochastic …
Persistent link: https://www.econbiz.de/10005138845
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Mixed normal conditional heteroskedasticity
Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2002
Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been … employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which …
Persistent link: https://www.econbiz.de/10010958539
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Sovereign credit ratings and their impact on recent financial crises
Kräussl, Roman - Center for Financial Studies - 2000
This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...
Persistent link: https://www.econbiz.de/10010986422
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Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2003
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the … Students t GARCH models. …
Persistent link: https://www.econbiz.de/10010986486
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - Center for Financial Studies - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10010958809
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Prediction of Financial Downside-Risk with Heavy-Tailed Conditional Distributions
Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2003
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the … Student’s t GARCH models. …
Persistent link: https://www.econbiz.de/10005176452
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - Center for Financial Studies - 2002
, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10010958558
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Accurate Value-at-Risk forecast with the (good old) normal-GARCH model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10010958670
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Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model
Hartz, Christoph; Mittnik, Stefan; Paolella, Marc S. - Center for Financial Studies - 2006
) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast …
Persistent link: https://www.econbiz.de/10005120776