Similar Search Results

Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007

We propose a flexible GARCH-type model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework...

Persistent link: https://www.econbiz.de/10005797706

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

Audrino, Francesco; Medeiros, Marcelo C. - School of Economics and Political Science, Universität … - 2008

In this paper we propose a smooth transition tree model for both the conditional mean and the conditional variance of the short-term interest rate process. Our model incorporates the interpretability of regression trees and the flexibility of smooth transition models to describe regime switches...

Persistent link: https://www.econbiz.de/10005696729

Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH

Caporin, Massimiliano; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009

DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....

Persistent link: https://www.econbiz.de/10005115605

Dynamic Conditional Correlations for Asymmetric Processes

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the … trivariate data of the Nikkei 225, Hang Seng and Straits Times Indices for estimating and forecasting the wDCC-EGARCH and wDCC … wDCC-EGARCH model to the wDCC-GJR, asymmetric BEKK and alternative conventional DCC models. Moreover, the empirical results …

Persistent link: https://www.econbiz.de/10009291890

Sovereign credit ratings, market volatility, and financial gains

Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014

filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …

Persistent link: https://www.econbiz.de/10010753741

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...

Persistent link: https://www.econbiz.de/10009141353

How Volatile is ENSO?

McAleer, Michael; Chu, LanFen; Chen, Chi-Chung - Facultad de Ciencias Económicas y Empresariales, … - 2011

The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability, which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index. The main purpose of this paper is to analyze these two indexes in...

Persistent link: https://www.econbiz.de/10009141355

Robust Value at Risk Prediction

Mancini, Loriano; Trojani, Fabio - School of Economics and Political Science, Universität … - 2007

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

Persistent link: https://www.econbiz.de/10005453980

Time variation in the tail behaviour of bunds futures returns

Upper, Christian; Werner, Thomas - European Central Bank - 2002

The present paper focuses on three questions: (i) Are heavy tails a relevant feature of the distribution of BUND futures returns? (ii) Is the tail behaviour constant over time? (iii) If it is not, can we use the tail index as an indicator for financial market risk and does it add value in...

Persistent link: https://www.econbiz.de/10005227539

Value at risk models in finance

Engle, Robert F.; Manganelli, Simone - European Central Bank - 2001

The main objective of this paper is to survey and evaluate the performance of the most popular univariate VaR methodologies, paying particular attention to their underlying assumptions and to their logical flaws. In the process, we show that the Historical Simulation method and its variants can...

Persistent link: https://www.econbiz.de/10005816286