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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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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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Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach
Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2013
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