Showing 1 - 10 of 12
The recent financial crisis raised awareness of the need for a framework for conducting macroprudential policy. Identifying as early as possible and addressing the buildup of endogenous imbalances, exogenous shocks, and contagion from financial markets, market infrastructures, and financial...
Persistent link: https://www.econbiz.de/10009324235
Cette analyse emploie le modèle des corrélations conditionnelles dynamiques développées récemment par Engle (2002) pour déterminer le caractère synchrone ou asynchrone des mouvements des taux de croissance de la valeur ajoutée des différents secteurs économiques au Luxembourg. Le...
Persistent link: https://www.econbiz.de/10009276970
Conditional returns distributions generated by a GARCH process, which are important for many problems in market risk … moments of GARCH returns distributions in several ways: we consider a general GARCH model – the GJR specification with a … specific GARCH models largely used in practice are recovered as special cases; we derive the limits of these moments as the …
Persistent link: https://www.econbiz.de/10010838036
produced by GARCH-based models are excessive. Therefore we encourage hedgers to use a na ¨ive hedging strategy on the crack … majority of the existing literature, which favours the implementation of GARCH-based hedging strategies. …
Persistent link: https://www.econbiz.de/10010838053
We quantify and endogenize the model risk associated with quantile estimates using a maximum entropy distribution (MED) as benchmark. Moment-based MEDs cannot have heavy tails, however generalized beta generated distributions have attractive properties for popular applications of quantiles....
Persistent link: https://www.econbiz.de/10010838057
GARCH option pricing models have the advantage of a well-established econometric foundation. However, multiple states … need to be introduced as single state GARCH and even Levy processes are unable to explain the term structure of the moments … of financial data. We show that the continuous time version of the Markov switching GARCH(1,1) process is a stochastic …
Persistent link: https://www.econbiz.de/10008542351
This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility …
Persistent link: https://www.econbiz.de/10008542373
GARCH processes constitute the major area of time series variance analysis hence the limit of these processes is of … considerable interest for continuous time volatility modelling. The limit of the GARCH(1,1) model is fundamental for limits of … other GARCH processes yet it has been the subject of much debate. The seminal work of Nelson (1990) derived this limit as a …
Persistent link: https://www.econbiz.de/10005178167
This study proposes a novel framework which combines marginal probabilities of default estimated from a structural credit risk model with the consistent information multivariate density optimization (CIMDO) methodology of Segoviano, and the generalized dynamic factor model (GDFM) supplemented by...
Persistent link: https://www.econbiz.de/10010631759
The estimation of banks? marginal probabilities of default using structural credit risk models can be enriched incorporating macro-financial variables readily available to economic agents. By combining Delianedis and Geske?s model with a Generalized Dynamic Factor Model into a dynamic t-copula...
Persistent link: https://www.econbiz.de/10010826820