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Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

Simultaneous Stochastic Volatility TransmissionAcross American Equity Markets

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

Information ows across international financial markets typically occur within hours, making volatility spillover appear … contemporaneous in daily data. Such simultaneous transmission of variances is featured by the stochastic volatility model developed in … heteroscedasticity of the structural volatility innovations, and estimation takes place in an appropriately specified state space setup …

Persistent link: https://www.econbiz.de/10005860498

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven bypast trading …

Persistent link: https://www.econbiz.de/10005860504

Value-at-Risk and Expected Shortfall when there is long range dependence

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …

Persistent link: https://www.econbiz.de/10005860751

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

The volatility implied by observed market prices as a function of the strikeand time to maturity form an Implied … Volatility Surface (IV S). Practicalapplications require reducing the dimension and characterize its dynamicsthrough a small … investigating long range dependencein the factor loadings series. Our result reveals that shocks to volatility persistfor a very …

Persistent link: https://www.econbiz.de/10005861020

Time Series Modelling with Semiparametric Factor Dynamics

Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

High-dimensional regression problems which reveal dynamic behavior are typicallyanalyzed by time propagation of a few number of factors. The inference on thewhole system is then based on the low-dimensional time series analysis. Such highdimensional problems occur frequently in many different...

Persistent link: https://www.econbiz.de/10005861034

VAR Modeling for´Dynamic Semiparametric Factors of VolatilityStrings

Brüggemann, Ralf; Härdle, Wolfgang; Mungo, Julius; … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006

The implied volatility of a European option as a function of strike price and time to maturity forms a volatility … semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space,allowing for a low …

Persistent link: https://www.econbiz.de/10005861696

On the Existence of theMoments of the AsymptoticTrace Statistic

Karaman Örsal, Deniz Dilan; Droge, Bernd - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

In this note we establish the existence of the first two moments of the asymptotic tracestatistic, which appears as weak limit of the likelihood ratio statistic for testing the cointe-gration rank in a vector autoregressive model and whose moments may be used to developpanel cointegration tests....

Persistent link: https://www.econbiz.de/10008939788

Mortality modeling:Lee-Carter and the macroeconomy

Hanewald, Katja - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Using data for six OECD countries, this paper studies the effect of macroeconomic conditions on the mortality index kt in the well-known Lee-Carter model. Significant correlations are found with real GDP growth rates in Australia, Canada, and the United States, and with unemployment rate changes...

Persistent link: https://www.econbiz.de/10008939791

Bayesian Demographic Modeling and Forecasting: An Application to U.S. Mortality

Reichmuth, Wolfgang; Sarferaz, Samad - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We present a new way to model age-specific demographic variables with the example of age-specific mortality in the U.S., building on the Lee-Carter approach and extendingit in several dimensions. We incorporate covariates and model their dynamics jointly with the latent variables underlying...

Persistent link: https://www.econbiz.de/10005860485