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Portfolio Analysis of Financial Market Risks by Random Set Tools
Vorobyev, Oleg Yu.; Novosyolov, Arcady A.; Simonov, … - Volkswirtschaftliche Fakultät, … - 2001
A new approach to portfolio analysis of financial market risks by random set tools is considered. Despite many attempts, the consistent and global modeling of financial markets remains an open problem. In particular it remains a challenge to find a simple and tractable economic and probabilistic...
Persistent link: https://www.econbiz.de/10005037758
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Financial Risk Measurement for Financial Risk Management
Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2012
Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or … cross-fertilize the academic and practitioner communities, promoting improved market risk measurement technologies that draw … produce more accurate risk assessments, treating both portfolio-level and asset-level analysis. Asset-level analysis is …
Persistent link: https://www.econbiz.de/10011271444
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Two Sample Tests for High Dimensional Covariance Matrices
Chen, Songxi - Volkswirtschaftliche Fakultät, … - 2012
We propose two tests for the equality of covariance matrices between two high-dimensional populations. One test is on the whole variance-covariance matrices, and the other is on offdiagonal sub-matrices which define the covariance between two non-overlapping segments of the high-dimensional...
Persistent link: https://www.econbiz.de/10011259210
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A binomial tree to price European options
Brogi, Athos - Volkswirtschaftliche Fakultät, … - 2010
A time-changing volatility binomial tree to price European options is presented followed by an algorithm explaining how to implement the tree. Finally, the advantages of the model are listed.
Persistent link: https://www.econbiz.de/10009323641
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Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches
Petersen, Mitchell - National Bureau of Economic Research (NBER) - 2005
In both corporate finance and asset pricing empirical work, researchers are often confronted with panel data. In these data sets, the residuals may be correlated across firms and across time, and OLS standard errors can be biased. Historically, the two literatures have used different solutions...
Persistent link: https://www.econbiz.de/10005040616
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Volatility Forecasting
Bollerslev, Tim; Christoffersen, Peter F.; Diebold, Francis - National Bureau of Economic Research (NBER) - 2005
forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …
Persistent link: https://www.econbiz.de/10005829302
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Modeling and Forecasting Realized Volatility
Bollerslev, Tim; Diebold, Francis; Andersen, Torben G.; … - National Bureau of Economic Research (NBER) - 2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement … the large covariance matrices relevant in asset pricing, asset allocation and financial risk management applications. …
Persistent link: https://www.econbiz.de/10005774835
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Linearity and stationarity of G7 government bond returns
Liew, Venus Khim-Sen; Qiao, Zhuo; Wong, Wing-Keung - Volkswirtschaftliche Fakultät, … - 2008
This study investigates the linearity and stationarity properties of government bond returns for the G7 economies. Our results from Luukkonen et al. (1988) linearity test reveal the nonlinear nature of all of the G7 bond returns. Furthermore, we had determined that they are stationary by the...
Persistent link: https://www.econbiz.de/10008534224
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Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility
Bollerslev, Tim; Diebold, Francis; Andersen, Torben G. - National Bureau of Economic Research (NBER) - 2005
A rapidly growing literature has documented important improvements in financial return volatility measurement and …
Persistent link: https://www.econbiz.de/10005049940
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Does Uncertainty Affect Investment Expenditure? A Comment
Cantillo, Andres - Volkswirtschaftliche Fakultät, … - 2011
This is a theoretic and econometric assessment of Peter Ferderer’s seminal paper published in the Journal of Post Keynesian Economics with the same title in 1993. New data shows that high forecaster discords coincide with a decrease in Investment expenditure. Specifically, the forecaster...
Persistent link: https://www.econbiz.de/10011156960