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Semiparametric Multivariate GARCH Models forVolatility Asymmetries and Dynamic Correlations
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We propose a simple class of semiparametric multivariate GARCH models, allowing for asymmetric volatilities and time-varying conditional correlations. Estimates for time-varying conditional correlations are constructed by means of a convex combination of estimates for averaged correlations...
Persistent link: https://www.econbiz.de/10005858366
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Historical Yield Curve Scenarios Generation without Resorting to Variance Reduction Techniques
Audrino, Francesco; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
) estimation of the conditional mean vector and the conditional volatility matrix of a multivariate interest rate series. The … principal components, a multivariate CCC-GARCH model, or the exponential smoothing volatility forecasting technique used by the …
Persistent link: https://www.econbiz.de/10005858367
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A multivariate FGD technique to improve VaR computation in equity markets
Audrino, Francesco; Barone-Adesi, Giovanni - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
descent (FGD) estimation for the volatility matrix (Audrino and Buhlmann, 2002) in connection with asset historical simulation … (volatility) function estimation. We concentrate our empirical investigations on the Swiss pharmaceutical and the US …
Persistent link: https://www.econbiz.de/10005858933