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Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Department of Economics, University of Pennsylvania - 2011

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose flexible methods that exploit recent developments in financial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10009350247

European Stock Market Dynamics Before and After the Introduction of the Euro

Friedman, Joseph; Shachmurove, Yochanan - Department of Economics, University of Pennsylvania - 2005

This paper addresses the following questions: Are the major European stock markets more integrated after the introduction of the Euro? How much of the change in the stock indices in different European countries can be attributed to innovations in other markets? How fast are events occurring in...

Persistent link: https://www.econbiz.de/10005061933

Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X. - Department of Economics, University of Pennsylvania - 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

Persistent link: https://www.econbiz.de/10005150230

Realized Beta: Persistence and Predictability

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Department of Economics, University of Pennsylvania - 2003

individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led …

Persistent link: https://www.econbiz.de/10005102075

Markov Switching Garch Models of Currency Crises in Southeast Asia

Brunetti, Celso; Mariano, Roberto S.; Scotti, Chiara; … - Department of Economics, University of Pennsylvania - 2003

evidence that exchange rate volatility is not constant. In fact, the modeling strategy adopted refers to the vast literature of … with low volatility (ordinary regime) and high exchange rate devaluations go together with high volatility. This calls for … returns and bank stock index returns and volatility are the major indicators. …

Persistent link: https://www.econbiz.de/10005102110

On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms

Diebold, Francis X.; Yılmaz, Kamil - Department of Economics, University of Pennsylvania - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10009318187

A, B, C’s (And D’s) For Understanding VARS

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F.; … - Department of Economics, University of Pennsylvania - 2005

The dynamics of a linear (or linearized) dynamic stochastic economic model can be expressed in terms of matrices (A,B,C,D) that define a state space system. An associated state space system (A,K,C, Sigma) determines a vector autoregression for observables available to an econometrician. We...

Persistent link: https://www.econbiz.de/10005126678

In the Same Boat: Exchange Rate Interdependence in the Asia-Pacific Region

Shachmurove, Tomer; Shachmurove, Yochanan - Department of Economics, University of Pennsylvania - 2007

This paper utilizes Vector Auto Regression (VAR) models to analyze the interdependence among exchange rates of twelve Asian-Pacific nations, Australia, China, Indonesia, Japan, Malaysia, New Zealand, Philippines, South Korea, Singapore, Taiwan, Thailand, and Vietnam. The daily data span from...

Persistent link: https://www.econbiz.de/10005126681

Convergence Properties of the Likelihood of Computed Dynamic Models

Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F.; … - Department of Economics, University of Pennsylvania - 2004

This paper studies the econometrics of computed dynamic models. Since these models generally lack a closed-form solution, economists approximate the policy functions of the agents in the model with numerical methods. But this implies that, instead of the exact likelihood function, the researcher...

Persistent link: https://www.econbiz.de/10005126709

A Three-Factor Yield Curve Model: Non-Affine Structure, Systematic Risk Sources, and Generalized Duration

Diebold, Francis X.; Ji, Lei; Li, Canlin - Department of Economics, University of Pennsylvania - 2006

We assess and apply the term-structure model introduced by Nelson and Siegel (1987) and re-interpreted by Diebold and Li (2003) as a modern three-factor model of level, slope and curvature. First, we ask whether the model is a member of the affine class, and we find that it is not. Hence the...

Persistent link: https://www.econbiz.de/10005020641