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Dependence Structure and Extreme Comovements in International Equity and Bond Markets
Garcia, René; Tsafack, Georges - Centre Interuniversitaire de Recherche en Analyse des … - 2009
documented with statistical tools such as exceedance correlation, extreme value theory, and Gaussian bivariate GARCH or regime … modèles GARCH bivarié en langage Gauss ou avec changement de régime. Nous signalons les limites de ces outils pour …
Persistent link: https://www.econbiz.de/10005052205
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Option Valuation with Conditional Heteroskedasticity and Non-Normality
Christoffersen, Peter; Elkamhi, Redouane; Feunou, Bruno; … - Centre Interuniversitaire de Recherche en Analyse des … - 2009
We provide results for the valuation of European style contingent claims for a large class of specifications of the underlying asset returns. Our valuation results obtain in a discrete time, infinite state-space setup using the no-arbitrage principle and an equivalent martingale measure. Our...
Persistent link: https://www.econbiz.de/10004976982
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Short and Long Memory in Equilibrium Interest Rate Dynamics
Duan, Jin-Chuan; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001
This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...
Persistent link: https://www.econbiz.de/10005100611
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models
Dufour, Jean-Marie; Khalaf, Lynda; Beaulieu, Marie-Claude - Centre Interuniversitaire de Recherche en Analyse des … - 2003
GARCH and sign-type tests against general dependencies and asymmetries. The procedures proposed provide exact versions of … following. Whereas univariate exact tests indicate significant serial correlation, asymmetries and GARCH in some equations, such … matrice de covariance des erreurs. Nous considérons des tests contre la dépendance sérielle, contre la présence d'effets GARCH …
Persistent link: https://www.econbiz.de/10005100677
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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2002
tests for multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit … des tests pour les effets GARCH multivariés et une généralisation multivariée des tests de ratio de variance), des tests …
Persistent link: https://www.econbiz.de/10005100885
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Which Volatility Model for Option Valuation?
Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2002
Characterizing asset return dynamics using volatility models is an important part of empirical finance. The existing literature favors some rather complex volatility specifications whose relative performance is usually assessed through their likelihood based on a time-series of asset returns....
Persistent link: https://www.econbiz.de/10005100917
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Option Valuation with Long-run and Short-run Volatility Components
Christoffersen, Peter; Jacobs, Kris; Wang, Yintian - Centre Interuniversitaire de Recherche en Analyse des … - 2004
This paper presents a new model for the valuation of European options. In our model, the volatility of returns consists of two components. One of these components is a long-run component, and it can be modeled as fully persistent. The other component is short-run and has a zero mean. Our model...
Persistent link: https://www.econbiz.de/10005101069
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Option Valuation with Conditional Skewness
Christoffersen, Peter; Heston, Steve; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2003
options shows that the new Inverse Gaussian GARCH model's performance is superior to a standard existing nested model for out …-of-the money puts, thus demonstrating the importance of conditional skewness. The discrete-time Inverse Gaussian GARCH process has … sur l'indice S&P500 montre que la performance du nouveau modèle GARCH gaussien inverse est supérieure à celle des modèles …
Persistent link: https://www.econbiz.de/10005101071
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Estimation Risk in Financial Risk Management
Christoffersen, Peter; Gonçalves, Sílvia - Centre Interuniversitaire de Recherche en Analyse des … - 2004
Value-at-Risk (VaR) and Expected Shortfall (ES) are increasingly used in portfolio risk measurement, risk capital allocation and performance attribution. Financial risk managers are therefore rightfully concerned with the precision of typical VaR and ES techniques. The purpose of this paper is...
Persistent link: https://www.econbiz.de/10005101108
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Structural Change and Asset Pricing in Emerging Markets
Garcia, René; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 1996
This paper documents the importance of testing for structural change in the context of emerging markets. Typically, asset pricing factor models for emerging markets are conditioned on world financial market factors such as world equity excess returns, risk and maturity spreads as well as other...
Persistent link: https://www.econbiz.de/10005100851