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A dynamic model of the financial real Interaction as a model selection criterion for nonparametric stock market prediction

Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich> - 2005

Inspired by findings of lowdimensional nonlinearities and the Theorem of Takens (1983) forecasting models of financial time series are often built upon nonparametric, i.e. universal nonlinear, univariate relationships. Empirical investigations, however, are seriously contaminated by the problem...

Persistent link: https://www.econbiz.de/10005858892

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gençay, Ramazan; Whitcher, Brandon; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

volatility across di.erent time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005859005

Extreme value theory and Value-at-Risk : Relative performance in emerging markets

Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...

Persistent link: https://www.econbiz.de/10005859080

Scaling, Self-Similarity and Multifractality in FX Markets

Gençay, Ramazan; Xu, Zhaoxia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper presents an empirical investigation of scaling and multifractal properties of U.S. Dollar-Deutschemark (USD-DEM) returns. The data set is ten years of 5-minute returns. The cumulative return distributions of positive and negative tails at di.erent time intervals are linear in the...

Persistent link: https://www.econbiz.de/10005859081

Robust Efficient Method of Moments

Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application ﬁeld of robust statistics to very general time series...

Persistent link: https://www.econbiz.de/10005858309

Exponential utility indifference valuation in two Brownian settings with stochastic correlation

Frei, Christoph; Schweizer, Martin - Institut für Schweizerisches Bankwesen <Zürich> - 2008

We study the exponential utility indifference valuation of a contingent claim B in an incomplete market driven by two Brownian motions. The claim depends on a nontradable asset stochastically correlated with the traded asset available for hedging. We use martingale arguments to provide upper and...

Persistent link: https://www.econbiz.de/10005857735

Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008

individual parameters, the dynamics of the aggregate volatility involves additional lags that reﬂect the moments of the …

Persistent link: https://www.econbiz.de/10005857736

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Dumas, Bernard; Kurshev, Alexander; Uppal, Raman - Institut für Schweizerisches Bankwesen <Zürich> - 2007

price volatility and sentiment ﬂuctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

Persistent link: https://www.econbiz.de/10005857774

Arbitrage in Stationary Markets

Evstigneev, Igor; Kapoor, Dhruv - Institut für Schweizerisches Bankwesen <Zürich> - 2007

discuss the relations between the results obtained and the phenomenon of volatility-induced growth in stationary markets. …

Persistent link: https://www.econbiz.de/10005857775

Pricing American Options Under Stochastic Volatility and Stochastic Interest Rates

Medvedev, Alexey; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich> - 2008

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

Persistent link: https://www.econbiz.de/10005857779