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Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns. In turn, this so …{called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Persistent link: https://www.econbiz.de/10005860514

Adaptive pointwise estimation in time-inhomogeneous time-series models

Cizek, Pavel; Härdle, Wolfgang; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

This paper offers a new method for estimation and forecasting of the linear and nonlinear time series when the stationarity assumption is violated. Our general local parametric approach particularly applies to general varying-coefficient parametric models, such as AR or GARCH, whose coefficients...

Persistent link: https://www.econbiz.de/10005860756

Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power

Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In particular, the well known integrated GARCH effect can be...

Persistent link: https://www.econbiz.de/10005854708

Optimal Smoothing for aComputationally andStatistically Efficient SingleIndex Estimator

Xia, Yingcun; Härdle, Wolfgang; Linton, Oliver - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In semiparametric models it is a common approach to under-smooth the nonparametric functions inorder that estimators of the finite dimensional parameters can achieve root-n consistency. The requirementof under-smoothing may result as we show from inefficient estimation methods or technical...

Persistent link: https://www.econbiz.de/10008939775

Independent Component Analysis Via Copula Techniques

Chen, Ray-Bing; Guo, Meihui; Härdle, Wolfgang; Huang, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

Independent component analysis (ICA) is a modern factor analysis tool developed in the last two decades. Given p-dimensional data, we search for that linear combination of data which creates (almost) independent components. Here copulae are used to model the p-dimensional data and then...

Persistent link: https://www.econbiz.de/10005860753

De copulis non estdisputandum Copulae: An Overview

Härdle, Wolfgang; Okhrin, Ostap - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Normal distribution of the residuals is the traditional assumption in the classicalmultivariate time series models. Nevertheless it is not very often consistent with the real data.Copulae allows for an extension of the classical time series models to nonelliptically distributedresiduals. In this...

Persistent link: https://www.econbiz.de/10005865416

Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing

Hlávka, Zdeněk; Pešta, Michal - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space...

Persistent link: https://www.econbiz.de/10005854964

New recipes forestimating defaultintensities

Baranovski, Alexander; von Lieres, Carsten; Wilch, André - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

This paper presents a new approach to deriving default intensities from CDS or bond spreadsthat yields smooth intensity curves required e.g. for pricing or risk management purposes. Assumingcontinuous premium or coupon payments, the default intensity can be obtained by solving an...

Persistent link: https://www.econbiz.de/10008939794

Time Dependent Relative Risk Aversion

Giacomini, Enzo; Handel, Michael; Härdle, Wolfgang K. - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Risk management and the thorough understanding of the relations betweenfinancial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors behavior from a...

Persistent link: https://www.econbiz.de/10005854712

A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter

Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...

Persistent link: https://www.econbiz.de/10005861035

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