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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

Robust Mean-Variance Portfolio Selection

Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspeciﬁcation, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneﬁcial...

Persistent link: https://www.econbiz.de/10005858020

On the Way to Recovery : A Nonparametric Bias Free Estimation of Recovery Rate Densities

Renault, Olivier; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

n this paper we analyse recovery rates on defaulted bonds using the Standard and Poors / PMD database for the years 1981-1999. Due to the specific nature of the data (observations lie within 0 and 1), we must rely on nonstandard econometric techniques. The recovery rate density is estimated...

Persistent link: https://www.econbiz.de/10005858909

Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators

Hagmann, Matthias; Scaillet, Olivier - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We cionsider semiparmetric assymetric kernel density estimators when the unkonwn density has support on [0,∞). We provide a unifying framework which contains assymmetric kernel versions of several semiparametric density estimators considered previously in the literature. This framework allows...

Persistent link: https://www.econbiz.de/10005858393

A Discrete Sine Transform for Multi-Scales Realized Volatility Measures

Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

In this study new realized volatility measures based on Multi-Scale regression and Discrete Sine Transform (DST … returns which permits to optimally disentangle the volatility signal of the underlying price process from the market …-Scales DST realized volatility estimator which is robust against a wide class of noise contaminations and model misspecifications …

Persistent link: https://www.econbiz.de/10005859008

A Discrete Sine Transform for Multi-Scales Realized Volatility Measures

Curci, Giuseppe; Corsi, Fulvio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2006

Persistent link: https://www.econbiz.de/10005859009

An Open Economy New Keynesian Phillips Curve: Evidence from Hong Kong

Genberg, Hans; Pauwels, Laurent L. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

consistent with the theory if import prices are given substantial weightin measuring marginal cost, rejecting the labour costs …

Persistent link: https://www.econbiz.de/10005858316

Constrained nonparametric dependence with application in finance and insurance

Gagliardini, Patrick; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this paper we provide a convenient econometric framework for the analy-sis of nonlinear dependence in ﬁnancial applications. We introduce models withconstrained nonparametric dependence, which specify the conditional distrib-ution or the copula in terms of a one-dimensional functional...

Persistent link: https://www.econbiz.de/10005858851

Consistency of Asymmetric Kernel DensityEstimators and Smoothed Histograms withApplication to Income Data

Bouezmarni, T.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

We consider asymmetric kernel density estimators and smoothed histogramswhen the unknown probability density function f is deﬁned on [0, +∞). Uniform weak consistency on each compact set in [0, +∞) is proved for these estimators when "f" is continuous on its support. Weak convergence in L...

Persistent link: https://www.econbiz.de/10005858092

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