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Analytic Moments for GARCH Processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - Henley Business School, University of Reading - 2010
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
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Endogenizing Model Risk to Quantile Estimates
Alexander, Carol; Sarabia, Jose Maria - Henley Business School, University of Reading - 2010
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
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American Option Valuation: Implied Calibration of GARCH Pricing-Models
Weber, Michael; Prokopczuk, Marcel - Henley Business School, University of Reading - 2010
This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility …
Persistent link: https://www.econbiz.de/10008542373
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An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal
Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2012
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