Narrow search
Showing 1 - 4 of 4
Cover Image
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
Cover Image
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
Alexander, Carol; Prokopczuk, Marcel; Sumawon, Anannit - Henley Business School, University of Reading - 2012
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
Cover Image
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
Cover Image
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