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Combination of multivariate volatility forecasts
Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
volatility predictor, the results of an application to tactical asset allocation are presented. …
Persistent link: https://www.econbiz.de/10005207941
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Generalized Exogenous Processes in DSGE: A Bayesian Approach
Meyer-Gohde, Alexander; Neuhoff, Daniel - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
The Reversible Jump Markov Chain Monte Carlo (RJMCMC) method can enhance Bayesian DSGE estimation by sampling from a posterior distribution spanning potentially nonnested models with parameter spaces of different dimensionality. We use the method to jointly sample from an ARMA process of unknown...
Persistent link: https://www.econbiz.de/10011207678
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Testing directional forecast value in the presence of serial correlation
Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
Persistent link: https://www.econbiz.de/10005652761
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Value-at-Risk and Expected Shortfall when there is long range dependence.
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
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/10005678005
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A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
Tsay, Wen-Jen; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10005678044
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Long Memory Persistence in the Factor of Implied Volatility Dynamics
Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …
Persistent link: https://www.econbiz.de/10005678046
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Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models
Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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 by past trading …
Persistent link: https://www.econbiz.de/10005677925
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Correlation vs. Causality in Stock Market Comovement
Weber, Enzo - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common …
Persistent link: https://www.econbiz.de/10005652751
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On the Appropriateness of Inappropriate VaR Models
Härdle, Wolfgang; Hlavka, Zdenek; Stahl, Gerhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
The Value-at-Risk calculation reduces the dimensionality of the risk factor space. The main reasons for such simplifications are, e.g., technical efficiency, the logic and statistical appropriateness of the model. In Chapter 2 we present three simple mappings: the mapping on the market index,...
Persistent link: https://www.econbiz.de/10005784862
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Probleme der Validierung mit Strukturgleichungsmodellen
Hildebrandt, Lutz; Temme, Dirk - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
Dieser Beitrag setzt sich mit der Leistungsfähigkeit von Strukturgleichungsmodellen bei der Validitätsprüfung von Messmodellen für hypothetische Konstrukte auseinander und geht auf ausgewählte Problembereiche bei der gängigen Anwendung dieser Methodik für die Skalenkonstruktion ein....
Persistent link: https://www.econbiz.de/10005652722